Keywords in Publications
keywordsNo. of Authors
asset allocation 4
comonotonicity 3
laplace transform 3
ruin probability 3
stochastic order 3
abstracting, bibliographies, statistics computers 2
adjustment-coefficient 2
asymptotic behavior 2
black-scholes model 2
brownian motion 2
brownian motion with drift 2
classical poisson risk model 2
compound poisson 2
conditional heteroscedasticity 2
consistently varying tail 2
constant-rebalanced portfolios 2
convex order 2
default risk 2
dependence structure 2
dependency structure 2
diffusion 2
doubly stochastic process 2
dynamic portfolio optimization 2
dynamic portfolio selection 2
dynamical programming 2
earnings-at-risk 2
engineering 2
equity-linked products 2
erlang(2) risk process 2
force of interest 2
heavy tail 2
information science and information theory 2
insurance risk model 2
integral equation 2
joint distribution of maximum and minimum before ruin 2
likelihood ratio order 2
lundberg inequality 2
lundberg's inequality 2
markov regime switching model 2
markovian arrival process 2
martingale 2
martingale approach 2
matuszewska index 2
negative association 2
non-linearity 2
optimal surrender time 2
point process 2
precise large deviation 2
precise large deviations 2
random sums 2
random walk 2
setar model 2
star model 2
stochastic dynamical system 2
stochastic orders 2
subexponentiality 2
surplus-dependent premium rate 2
tail dependence 2
transition kernel 2
truncated gerber–shiu function 2
upper bound 2
upper comonotonicity 2
utility function 2
weak convergence 2
(i) controldividends 1
absolute ruin 1
absolute ruin probability 1
adjustment coefficient 1
american options 1
ams classification: 93e11, 93e12, 60g35 1
apgarch model 1
approximation theory 1
ascending ladder 1
asset-liability management 1
asymptotic 1
asymptotic good bound 1
asymptotic optimality 1
asymptotic results 1
asymptotics 1
band strategy 1
barrier strategy 1
bayesian analysis 1
bayesian method 1
bayesian mixture models 1
bessel equations 1
bessel functions 1
bid-ask spread 1
binomial models 1
black-scholes financial market 1
black–scholes model 1
borch's theorem 1
bsde 1
bühlmann estimators 1
capital injections 1
cir model 1
clustering 1
coherent risk measure 1
coherent risk measures 1
compound poisson model 1
compound poisson process 1
compound poisson risk process 1
conditional esscher transforms 1
conditional risk measure 1
confluent hypergeometric function 1
constantly-rebalanced portfolios 1
continuous-time model 1
contour integration 1
control 1
convergence of the discounted surplus process 1
converse comparison theorem 1
convex premium principle 1
coupled system of integro-differential equations 1
credibility premium principle 1
credibility theory 1
credit and debit interest rates 1
credit rating 1
currency options 1
debit interest 1
decomposition 1
deep learning 1
default option 1
default probability 1
default time 1
defaultable security 1
defective renewal equation 1
deficit at ruin 1
delay differential equation 1
dependence 1
derivatives 1
derivatives markets 1
differentiability 1
dirichlet problem 1
dirichlet process 1
discounted density 1
discounted penalty function 1
discrete adaptive filter 1
discrete time 1
discrete time systems 1
discrete-time asset allocation 1
dividend 1
dividend optimization 1
dividend payment 1
dividend policy 1
dividend strategies 1
dividend strategy 1
dividends-penalty identity 1
dual insurance risk model 1
dual model 1
dynamic programming 1
efficient frontier 1
elasticity approach 1
em algorithm 1
enlargement of reinsurance space 1
equilibrium approach 1
equity issuance 1
equity risk premium 1
equity-indexed annuity 1
equity-linked death benefits 1
erlang process 1
erlang(2) process 1
esscher transform 1
exotic options 1
expectation maximization 1
expected discounted penalty function 1
expected total discounted capital injection 1
expected utility 1
exponential claim distribution 1
exponential integral 1
exponential stopping 1
filtering 1
finite time ruin probability 1
first hitting times 1
first recovery time 1
fourier-cosine method 1
gamma process 1
general class of risk models 1
general linear groups over a finite field 1
generalized coxian distribution 1
geometric brownian motion 1
gerber-shiu function 1
gerber-shiu's model 1
gerber–shiu functions 1
girsanov theorem 1
global investment 1
guaranteed minimum death benefit 1
hamilton-jacobi-bellman equation 1
hamilton-jacobi-bellman equations 1
harmonic analysis 1
heavy-tailed and light-tailed distributions 1
heavy-tailed distribution 1
hedging risk of regime switching 1
hidden markov model 1
hidden markovian regime-switching model 1
high-water benefit 1
hjb equation 1
hyperbolic discounting 1
im13 1
im50 1
impulse control 1
incomplete market 1
infinite mixture 1
infinitesimal transformations 1
information science and informaiton theory 1
information uncertainty 1
innovations approach 1
insurance mathematics 1
insurance risk models 1
intefrated risk management 1
integral equations 1
integral-differential equation 1
integro-differential equation 1
interest force 1
interest income 1
invariants 1
ito's formula 1
itô formula 1
jump diffusion 1
jump diffusion process 1
jump-diffusion 1
jump-diffusion model 1
key renewal theorem 1
kummer's confluent hypergeometric equation 1
lagrangian function 1
laplace transform of time to ruin 1
largemarkets 1
leptokurtic effect 1
leverage effect 1
liability constraint 1
lie groups 1
lifetime uncertainty 1
linear quadratic control 1
liquidity risk 1
logarithmic utility 1
long-tailed distribution 1
lower bound 1
lundberg bound 1
lundberg equation 1
lévy process 1
lévy subordinator 1
malliavin calculus 1
map 1
market completeness 1
markov chain 1
markov chain approximation 1
markov chain approximation method 1
markov processes 1
markov regime-switching 1
markov-modulated model 1
markov-modulated random measures 1
markovian regime switching model 1
martingale restriction 1
martingales 1
matrix renewal equation 1
memoryness 1
min-max entropy problem 1
minimum guaranteed death benefits 1
minimum principle 1
model risk 1
model uncertainty 1
multi-period 1
multiperiod model 1
multiple reinsurers 1
neural networks 1
new better than used distribution 1
new worse than used distribution 1
non-exponential discounting 1
non-linear portfolios 1
nonlinear programming 1
nonparametric bayesian credibility 1
number of claims 1
optimal alternative to delta hedge 1
optimal consumption and investment 1
optimal control 1
optimal design 1
optimal dividend barrier 1
optimal dividend problem 1
optimal dividends 1
optimal reinsurance 1
optimal reinsurance treaties 1
optimal stopping 1
optimal strategy 1
option pricing 1
option valuation 1
options markets 1
pareto distribution 1
pareto-optimal risk exchange 1
partial differential equation 1
partial information 1
partially observed diffusions 1
participating life insurance policies 1
path dependent options 1
pde 1
penalty at ruin 1
pension funding 1
phase-type distribution 1
physical probability measure 1
pollaczek-khinchin formula 1
portfolio selection 1
preventive maintenance 1
price of regime switching risk 1
pricing 1
pricing of derivative securities 1
probability of ruin 1
proportional reinsurance 1
proportional transaction costs 1
quasi-variational inequalities 1
quasi-variational inequality 1
random probability distribution 1
recursive equation 1
recursive formula 1
reference probability 1
regime switching 1
regime switching model 1
regime-switching 1
regime-switching risk 1
reinsurance 1
reinsurance strategies 1
removable singularity 1
renewal risk model 1
renewal theory 1
representation 1
reserve processes 1
risk assessment 1
risk characteristic of policyholder 1
risk characteristics 1
risk interval 1
risk management 1
risk measure 1
risk measures 1
risk processes perturbed by diffusion 1
risk-minimization 1
risk-neutral probability measure 1
robust em algorithms 1
ruin function 1
ruin probabilities 1
ruin theory 1
scenario analysis 1
securities 1
self-exciting 1
sensitivity analysis 1
severity of ruin 1
single periodmodel 1
smoothed estimate 1
sobolev embedding theorem 1
spectrally negative lévy processes 1
stochastic approximation 1
stochastic control 1
stochastic differential equation 1
stopping time 1
strong markov property 1
subexponential distribution 1
subjective probability measures 1
subjective risk measure 1
subjective var 1
subordinator 1
surplus immediately after ruin 1
surplus immediately before ruin 1
system of second-order differential equations 1
taxes 1
technology: comprehensive works 1
the class l (γ) 1
the dual risk model 1
the joint distribution of surplus immediately before ruin and the deficit at ruin 1
the time to ruin 1
threshold principle 1
transaction costs 1
trinomial extensions 1
trinomial method 1
trinomial tree method 1
two-factor stochastic volatility 1
two-sided jump model 1
two-stage pricing procedure 1
two-time scale 1
ultimate ruin probability 1
unit-linked life insurance 1
utility 1
value at risk 1
variable annuities 1
variance premium principles 1
variance risk premium 1
viscosity solution 1
volterra type integral equation system 1
weak no-arbitrage 1
weighted chinese restaurant process 1
worst case scenario 1
zakai equation 1
φ-moments 1
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Co-Investigators
InvestigatorsNo. of Grants
li, wai keung 2
yuen, kam chuen 2
ng, kai wang 1
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