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- Optimal financing and dividend distribution in a general diffusion model with regime switching. Advances in Applied Probability 2016. 48:406-422 .
- Asset allocation under threshold autoregressive models. Applied Stochastic Models in Business and Industry 2012. 28:60-72 .
- On a Sparre Andersen Risk Model with Time-Dependent Claim Sizes and Jump-Diffusion Perturbation. Methodology and Computing in Applied Probability 2012. 14:973-995 .
- On the optimal dividend strategy in a regime-switching diffusion model. Advances in Applied Probability 2012. 44:886-906 .
- Optimal surrender strategies for equity-indexed annuity investors with partial information. Statistics & Probability Letters 2012. 82:1251-1258 .
- Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment. Communications in Statistics: Theory and Methods 2011. 40:3917-3934 .
- On the absolute ruin in a map risk model with debit interest. Advances in Applied Probability 2011. 43:77-96 .
- Filtering a Markov modulated random measure. IEEE Transactions on Automatic Control 2010. 55:79-88 .
- Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model. Stochastic Analysis and Applications 2010. 28:1078-1105 .
- Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Applied Stochastic Models in Business and Industry 2010. 26:125-141 .
- Dependent insurance risk model: Deterministic threshold. Communications in Statistics: Theory and Methods 2010. 39:765-776 .
- On differentiability of ruin functions under Markov-modulated models. Stochastic Processes and their Applications 2009. 119:1673-1695 .
- Ruin Probabilities of a Dual Markov-Modulated Risk Model. Communications in Statistics: Theory and Methods 2008. 37:3298-3307 .
- Some recent developments in actuarial science. .
- Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model. Insurance: Mathematics & Economics 2008. 43:456-465 .
- Ordering of optimal portfolio allocations in a model with a mixture of fundamental risks. Journal of Applied Probability 2008. 45:55-66 .
- Ruin theory for a Markov regime-switching model under a threshold dividend strategy. Insurance: Mathematics & Economics 2008. 42:311-318 .
- Pricing currency options under two-factor Markov-modulated stochastic volatility models. Insurance: Mathematics & Economics 2008. 43:295-302 .
- On the joint distribution of surplus before and after ruin under a Markovian regime switching model. Stochastic Processes and their Applications 2006. 116:244-266 .
- Ruin problems for a discrete time risk model with random interest rate. Mathematical Methods of Operations Research 2006. 63:287-299 .
- Necessary and sufficient conditions for weak no-arbitrage in securities markets with frictions. Annals of Operations Research 2005. 133:265-276 .
- Optimal stopping behavior of equity-linked investment products with regime switching. Insurance: Mathematics & Economics 2005. 37:599-614 .
- Optimal investment for insurer with jump-diffusion risk process. Insurance: Mathematics & Economics 2005. 37:615-634 .
- Ruin in the perturbed compound Poisson risk process under interest force. Advances in Applied Probability 2005. 37:819-835 .
- Ruin problems under feedback model with random interest. Advances and Applications in Statistics 2004. 4:379-395 .
- Ordering optimal proportions in the asset allocation problem with dependent default risks. Insurance: Mathematics & Economics 2004. 35:595-609 .
- On the distribution of surplus immediately after ruin under interest force and subexponential claims. Insurance: Mathematics & Economics 2004. 35:703-714 .
- Ruin probability under compound Poisson models with random discount factor. Probability in the Engineering and Informational Sciences 2004. 18:55-70 .
- Precise large deviations for sums of random variables with consistently varying tails. Journal of Applied Probability 2004. 41:93-107 .
- On the joint distributions of surplus immediately before ruin and the deficit at ruin for Erlang(2) risk processes. Insurance: Mathematics & Economics 2004. 34:121-125 .
- Precise large deviations for the prospective-loss process. Journal of Applied Probability 2003. 40:391-400 .
- Some results on ruin probabilities in a two-dimensional risk model. Insurance: Mathematics & Economics 2003. 32:345-358 .
- Ruin theory in a financial corporation model with credit risk. Insurance: Mathematics & Economics 2003. 33:135-145 .
- Martingale method for ruin probability in an autoregressive model with constant interest rate. Probability in the Engineering and Informational Sciences 2003. 17:183-198 .
- Risk: From insurance to finance. .
- On the distribution of surplus immediately after ruin under interest force. Insurance: Mathematics & Economics 2001. 29:247-255 .
- Conditional ruin probability with stochastic interest rate. Stochastic Analysis and Applications 2001. 19:207-214 .
- On the distribution of surplus immediately before ruin under interest force. Statistics & Probability Letters 2001. 55:329-338 .
- Spectrally negative Lévy processes with applications in risk theory. Advances in Applied Probability 2001. 33:281-291 .
- European option pricing when the riskfree interest rate follows a jump process. Communications in Statistics: Stochastic Models 2000. 16:143-166 .
- Non-exponential bounds for ruin probability with interest effect included. Scandinavian Actuarial Journal 1999. :66-79 .
- Subjective risk measures: Bayesian predictive scenarios analysis. Insurance: Mathematics & Economics 1999. 25:157-169 .
- Non-exponential bounds for ruin probability with interest effect included. Scandinavian Actuarial Journal 1999. 1999:66-79 .
- On convergence rates of monotone empirical Bayes tests for the continuous one-parameter exponential family. Statistics & Decisions 1995. 13:181-192 .
- How to count and guess well: Discrete adaptive filters (STMA V36 1047). Applied Mathematics and Optimization 1994. 30:51-78 .
- Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying (STMA V35 0880). Mathematical Finance 1993. 3:85-99 .
- Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying1. Mathematical Finance 1993. 3:85-99 .