Sums of pairwise quasi-asymptotically independent random variables with consistent variation. Zbl 1181.62011
Chen, Yiqing; Yuen, Kam C. |
|
2009
|
Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167
Liang, Zhibin; Yuen, Kam Chuen |
|
2016
|
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Zbl 1218.91084
Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi |
|
2011
|
Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032
Yuen, K. C.; Guo, J. Y. |
|
2001
|
Optimality of the threshold dividend strategy for the compound Poisson model. Zbl 1225.91030
Yin, Chuancun; Yuen, Kam Chuen |
|
2011
|
Precise large deviations of aggregate claims in a size-dependent renewal risk model. Zbl 1284.60057
Chen, Yiqing; Yuen, Kam C. |
|
2012
|
Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. Zbl 1328.93285
Yin, Chuancun; Yuen, Kam Chuen |
|
2015
|
Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model. Zbl 1286.91068
Liang, Zhibin; Yuen, Kam Chuen; Cheung, Ka Chun |
|
2012
|
Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims. Zbl 1275.91075
Chen, Yiqing; Yuen, Kam C.; Ng, Kai W. |
|
2011
|
On ultimate ruin in a delayed-claims risk model. Zbl 1074.60089
Yuen, Kam C.; Guo, Junyi; Ng, Kai W. |
|
2005
|
On the first time of ruin in the bivariate compound Poisson model. Zbl 1095.62120
Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan |
|
2006
|
Optimal proportional reinsurance with common shock dependence. Zbl 1348.91191
Yuen, Kam Chuen; Liang, Zhibin; Zhou, Ming |
|
2015
|
On a correlated aggregate claims model with Poisson and Erlang risk processes. Zbl 1074.91566
Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan |
|
2002
|
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory. Zbl 1310.60058
Yin, Chuancun; Yuen, Kam C. |
|
2014
|
Precise large deviations of random sums in presence of negative dependence and consistent variation. Zbl 1242.60027
Chen, Yiqing; Yuen, Kam C.; Ng, Kai W. |
|
2011
|
Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model. Zbl 1231.91414
Tang, Qihe; Wang, Guojing; Yuen, Kam C. |
|
2010
|
The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Zbl 1273.91456
Yuen, Kam C.; Wang, Guojing; Li, Wai K. |
|
2007
|
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence. Zbl 1348.91165
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin |
|
2016
|
On a correlated aggregate claims model with thinning-dependence structure. Zbl 1120.62095
Wang, Guojing; Yuen, Kam C. |
|
2005
|
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Zbl 1436.91104
Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen |
|
2020
|
On the renewal risk process with stochastic interest. Zbl 1109.60071
Yuen, Kam C.; Wang, Guojing; Wu, Rong |
|
2006
|
Ruin probabilities for a risk process with stochastic return on investments. Zbl 1075.91029
Yuen, Kam C.; Wang, Guojing; Ng, Kai W. |
|
2004
|
Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims. Zbl 1382.91048
Yang, Yang; Yuen, Kam C. |
|
2016
|
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. Zbl 1418.91240
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen |
|
2018
|
Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims. Zbl 1412.91059
Yang, Yang; Yuen, Kam C.; Liu, Jun-Feng |
|
2018
|
On a mixture GARCH time-series model. Zbl 1115.62094
Zhang, Zhiqiang; Li, Wai Keung; Yuen, Kam Chuen |
|
2006
|
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence. Zbl 1410.91273
Liang, Zhibin; Yuen, Kam Chuen; Zhang, Caibin |
|
2018
|
A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling. Zbl 1427.91243
Sun, Zhongyang; Yuen, Kam Chuen; Guo, Junyi |
|
2020
|
The maximum of randomly weighted sums with long tails in insurance and finance. Zbl 1232.62136
Chen, Yiqing; Ng, Kai W.; Yuen, Kam C. |
|
2011
|
A discrete-time risk model with interaction between classes of business. Zbl 1074.91031
Wu, Xueyuan; Yuen, Kam C. |
|
2003
|
Optimal investment and premium control in a nonlinear diffusion model. Zbl 1402.91220
Zhou, Ming; Yuen, Kam Chuen; Yin, Chuan-Cun |
|
2017
|
Some results on the compound Markov binomial model. Zbl 1144.91036
Yuen, Kam-Chuen; Guo, Junyi |
|
2006
|
On a risk model with debit interest and dividend payments. Zbl 1169.62089
Yuen, Kam-Chuen; Zhou, Ming; Guo, Junyi |
|
2008
|
Asymptotics for a discrete-time risk model with gamma-like insurance risks. Zbl 1401.91206
Yang, Yang; Yuen, Kam C. |
|
2016
|
The compound Poisson process perturbed by a diffusion with a threshold dividend strategy. Zbl 1224.91100
Yuen, Kam C.; Lu, Yuhua; Wu, Rong |
|
2009
|
Optimal dividend and reinsurance in the presence of two reinsurers. Zbl 1344.49028
Chen, Mi; Yuen, Kam Chuen |
|
2016
|
On optimality of the barrier strategy for a general Lévy risk process. Zbl 1219.91076
Yuen, Kam Chuen; Yin, Chuancun |
|
2011
|
Asymptotics of the goodness-of-fit test for a partial linear model with randomly censored data. Zbl 1217.62058
Chen, Min; Yuen, Kam C.; Zhu, Lixing |
|
2003
|
Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations. Zbl 1364.91072
Yang, Yang; Zhang, Ting; Yuen, Kam C. |
|
2017
|
Survival probabilities in a discrete semi-Markov risk model. Zbl 1410.91260
Chen, Mi; Yuen, Kam Chuen; Guo, Junyi |
|
2014
|
A new MM algorithm for constrained estimation in the proportional hazards model. Zbl 1507.62048
Ding, Jieli; Tian, Guo-Liang; Yuen, Kam Chuen |
|
2015
|
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times. Zbl 1460.91215
Chen, Yiqing; White, Toby; Yuen, Kam Chuen |
|
2021
|
Distorted mix method for constructing copulas with tail dependence. Zbl 1304.62087
Li, Lujun; Yuen, K. C.; Yang, Jingping |
|
2014
|
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122
Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan |
|
2021
|
Asymptotics for a censored generalized linear model with unknown link function. Zbl 1112.62068
Wang, Yanhua; He, Shuyuan; Zhu, Lixing; Yuen, Kam C. |
|
2007
|
Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. Zbl 1429.62459
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen |
|
2019
|
A test of fit for a semiparametric additive risk model. Zbl 0888.62046
Yuen, K. C.; Burke, M. D. |
|
1997
|
Some ruin problems for a risk process with stochastic interest. Zbl 1145.60320
Yuen, Kam-Chuen; Wang, Guojing |
|
2005
|
Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes. Zbl 1286.60043
Shen, Ying; Yin, Chuan-Cun; Yuen, Kam Chuen |
|
2013
|
On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends. Zbl 1354.91081
Yuen, Kam Chuen; Chen, Mi; Wat, Kam Pui |
|
2017
|
Bayesian non-randomized response models for surveys with sensitive questions. Zbl 1245.62007
Tian, Guo-Liang; Yuen, Kam Chuen; Tang, Man-Lai; Tan Ming T. |
|
2009
|
Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables. Zbl 1252.62054
Yuen, Kam Chuen; Yin, Chuancun |
|
2012
|
Interplay of financial and insurance risks in dependent discrete-time risk models. Zbl 1436.62501
Yang, Yang; Jiang, Tao; Wang, Kaiyong; Yuen, Kam C. |
|
2020
|
A reduced-form model for correlated defaults with regime-switching shot noise intensities. Zbl 1343.60117
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng |
|
2016
|
Portfolio selection by minimizing the present value of capital injection costs. Zbl 1390.91291
Zhou, Ming; Yuen, Kam C. |
|
2015
|
Optimal reinsurance in a compound Poisson risk model with dependence. Zbl 1397.91294
Wei, Wei; Liang, Zhibin; Yuen, Kam Chuen |
|
2018
|
Pricing credit derivatives under a correlated regime-switching hazard processes model. Zbl 1361.91060
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing |
|
2017
|
Goodness-of-fit tests for the Cox model via bootstrap method. Zbl 0845.62070
Burke, Murray D.; Yuen, Kam C. |
|
1995
|
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework. Zbl 07737888
Yuan, Yu; Han, Xia; Liang, Zhibin; Yuen, Kam Chuen |
|
2023
|
On a discrete-time risk model with delayed claims and dividends. Zbl 1263.91054
Yuen, Kam Chuen; Li, Jinzhu; Wu, Rong |
|
2013
|
On the renewal risk model under a threshold strategy. Zbl 1170.91014
Dong, Yinghui; Wang, Guojing; Yuen, Kam C. |
|
2009
|
Resampling methods for testing a semiparametric random censorship model. Zbl 1017.62091
Zhu, L. X.; Yuen, K. C.; Tang, N. Y. |
|
2002
|
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model. Zbl 1287.91138
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng |
|
2014
|
Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process. Zbl 1476.91134
Yang, Yang; Yuen, Kam Chuen; Liu, Jun-feng |
|
2021
|
Minimizing the probability of absolute ruin under the mean-variance premium principle. Zbl 1471.91460
Han, Xia; Liang, Zhibin; Yuen, Kam C. |
|
2021
|
Zero-one-inflated simplex regression models for the analysis of continuous proportion data. Zbl 1530.60015
Liu, Pengyi; Yuen, Kam Chuen; Wu, Liu-Cang; Tian, Guo-Liang; Li, Tao |
|
2020
|
Ruin probabilities in Cox risk models with two dependent classes of business. Zbl 1120.60069
Guo, Jun Yi; Yuen, Kam C.; Zhou, Ming |
|
2007
|
On the mean residual life regression model. Zbl 1026.62109
Yuen, K. C.; Zhu, L. X.; Tang, N. Y. |
|
2003
|
On Erlang(2) risk process perturbed by diffusion. Zbl 1078.60509
Yuen, Kam C.; Yang, Hailiang; Wang, Rongming |
|
2005
|
Optimal consumption and investment problems under GARCH with transaction costs. Zbl 1111.91015
Chen, Zhiping; Yuen, K. C. |
|
2005
|
A regime-switching model with jumps and its application to bond pricing and insurance. Zbl 1352.60111
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen |
|
2016
|
Multivariate zero-and-one inflated Poisson model with applications. Zbl 1433.62054
Zhang, Chi; Tian, Guo-Liang; Yuen, Kam Chuen; Wu, Qin; Li, Tao |
|
2020
|
Correlated default models driven by a multivariate regime-switching shot noise process. Zbl 07110050
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen |
|
2018
|
A new multivariate zero-adjusted Poisson model with applications to biomedicine. Zbl 1429.62568
Liu, Yin; Tian, Guo-Liang; Tang, Man-Lai; Yuen, Kam Chuen |
|
2019
|
A time-series risk model with constant interest for dependent classes of business. Zbl 1119.91060
Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung |
|
2007
|
Profile empirical likelihood for parametric and semiparametric models. Zbl 1095.62038
Lin, Lu; Zhu, Lixing; Yuen, K. C. |
|
2005
|
Comparing \(k\) cumulative incidence functions through resampling methods. Zbl 1116.62418
Yuen, Kam C.; Zhu, Lixing; Zhang, Dixin |
|
2002
|
The classical risk model with constant interest and threshold strategy. Zbl 1154.91499
Dong, Yinghui; Yuen, Kam C. |
|
2008
|
A \(k\)-sample test with interval censored data. Zbl 1153.62322
Yuen, Kam-Chuen; Shi, Jian; Zhu, Lixing |
|
2006
|
Stochastic programming method for multiperiod consumption and investment problems with transactions costs. Zbl 1145.91379
Chen, Zhiping; Xu, Chengxian; Yuen, K. C. |
|
2004
|
Empirical likelihood confidence regions for one- or two-samples with doubly censored data. Zbl 1468.62178
Shen, Junshan; Yuen, Kam Chuen; Liu, Chunling |
|
2016
|
Regime-switching shot-noise processes and longevity bond pricing. Zbl 1341.60069
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng |
|
2014
|
The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation. Zbl 1437.62381
Xun, Baoyin; Wang, Kaiyong; Yuen, Kam C. |
|
2020
|
The finite-time ruin probability of a risk model with a general counting process and stochastic return. Zbl 1499.91026
Xun, Baoyin; Yuen, Kam C.; Wang, Kaiyong |
|
2022
|
Further properties and new applications of the nested Dirichlet distribution. Zbl 1465.62021
Tian, Guo-Liang; Tang, Man-Lai; Yuen, Kam Chuen; Ng, Kai Wang |
|
2010
|
Ultimate ruin probability for a time-series risk model with dependent classes of insurance business. Zbl 1192.91121
Wan, Lai Mei; Yuen, Kam Chuen; Li, Wai Keung |
|
2005
|
Comments on some parametric models for mortality tables. Zbl 1075.62645
Yuen, Kam C. |
|
1997
|
On the distributions of two classes of multiple dependent aggregate claims. Zbl 1153.91604
Wang, Rong-ming; Yuen, Kam C.; Zhu, Li-xing |
|
2008
|
A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. Zbl 1307.91186
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng |
|
2014
|
A note on joint occupation times of spectrally negative Lévy risk processes with tax. Zbl 1392.60044
Wang, Wenyuan; Wu, Xueyuan; Peng, Xingchun; Yuen, Kam C. |
|
2018
|
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities. Zbl 1416.91389
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing |
|
2017
|
Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach. Zbl 1499.62397
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen |
|
2022
|
Minimizing the probability of absolute ruin under ambiguity aversion. Zbl 1476.62223
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen; Yuan, Yu |
|
2021
|
Optimal dividends and reinsurance with capital injection under thinning dependence. Zbl 07565516
Chen, Mi; Zhou, Ming; Liu, Haiyan; Yuen, Kam Chuen |
|
2022
|
Optimal dividend and risk control policies in the presence of a fixed transaction cost. Zbl 1465.91096
Li, Peng; Meng, Qingbin; Yuen, Kam C.; Zhou, Ming |
|
2021
|
Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock. Zbl 1499.91105
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen |
|
2021
|
Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance. Zbl 07791016
Yang, Yang; Chen, Shaoying; Yuen, Kam Chuen |
|
2024
|
Compositional inverse Gaussian models with applications in compositional data analysis with possible zero observations. Zbl 07862332
Liu, Pengyi; Tian, Guo-Liang; Yuen, Kam Chuen; Sun, Yuan; Zhang, Chi |
|
2024
|
Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance. Zbl 07791016
Yang, Yang; Chen, Shaoying; Yuen, Kam Chuen |
|
2024
|
Compositional inverse Gaussian models with applications in compositional data analysis with possible zero observations. Zbl 07862332
Liu, Pengyi; Tian, Guo-Liang; Yuen, Kam Chuen; Sun, Yuan; Zhang, Chi |
|
2024
|
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework. Zbl 07737888
Yuan, Yu; Han, Xia; Liang, Zhibin; Yuen, Kam Chuen |
|
2023
|
The finite-time ruin probability of a risk model with a general counting process and stochastic return. Zbl 1499.91026
Xun, Baoyin; Yuen, Kam C.; Wang, Kaiyong |
|
2022
|
Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach. Zbl 1499.62397
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen |
|
2022
|
Optimal dividends and reinsurance with capital injection under thinning dependence. Zbl 07565516
Chen, Mi; Zhou, Ming; Liu, Haiyan; Yuen, Kam Chuen |
|
2022
|
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times. Zbl 1460.91215
Chen, Yiqing; White, Toby; Yuen, Kam Chuen |
|
2021
|
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. Zbl 1468.91122
Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan |
|
2021
|
Uniform asymptotics for finite-time ruin probability in a dependent risk model with general stochastic investment return process. Zbl 1476.91134
Yang, Yang; Yuen, Kam Chuen; Liu, Jun-feng |
|
2021
|
Minimizing the probability of absolute ruin under the mean-variance premium principle. Zbl 1471.91460
Han, Xia; Liang, Zhibin; Yuen, Kam C. |
|
2021
|
Minimizing the probability of absolute ruin under ambiguity aversion. Zbl 1476.62223
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen; Yuan, Yu |
|
2021
|
Optimal dividend and risk control policies in the presence of a fixed transaction cost. Zbl 1465.91096
Li, Peng; Meng, Qingbin; Yuen, Kam C.; Zhou, Ming |
|
2021
|
Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock. Zbl 1499.91105
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen |
|
2021
|
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. Zbl 1436.91104
Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen |
|
2020
|
A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling. Zbl 1427.91243
Sun, Zhongyang; Yuen, Kam Chuen; Guo, Junyi |
|
2020
|
Interplay of financial and insurance risks in dependent discrete-time risk models. Zbl 1436.62501
Yang, Yang; Jiang, Tao; Wang, Kaiyong; Yuen, Kam C. |
|
2020
|
Zero-one-inflated simplex regression models for the analysis of continuous proportion data. Zbl 1530.60015
Liu, Pengyi; Yuen, Kam Chuen; Wu, Liu-Cang; Tian, Guo-Liang; Li, Tao |
|
2020
|
Multivariate zero-and-one inflated Poisson model with applications. Zbl 1433.62054
Zhang, Chi; Tian, Guo-Liang; Yuen, Kam Chuen; Wu, Qin; Li, Tao |
|
2020
|
The finite-time ruin probability of time-dependent risk model with stochastic return and Brownian perturbation. Zbl 1437.62381
Xun, Baoyin; Wang, Kaiyong; Yuen, Kam C. |
|
2020
|
Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. Zbl 1429.62459
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen |
|
2019
|
A new multivariate zero-adjusted Poisson model with applications to biomedicine. Zbl 1429.62568
Liu, Yin; Tian, Guo-Liang; Tang, Man-Lai; Yuen, Kam Chuen |
|
2019
|
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. Zbl 1418.91240
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen |
|
2018
|
Asymptotics for ruin probabilities in Lévy-driven risk models with heavy-tailed claims. Zbl 1412.91059
Yang, Yang; Yuen, Kam C.; Liu, Jun-Feng |
|
2018
|
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence. Zbl 1410.91273
Liang, Zhibin; Yuen, Kam Chuen; Zhang, Caibin |
|
2018
|
Optimal reinsurance in a compound Poisson risk model with dependence. Zbl 1397.91294
Wei, Wei; Liang, Zhibin; Yuen, Kam Chuen |
|
2018
|
Correlated default models driven by a multivariate regime-switching shot noise process. Zbl 07110050
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen |
|
2018
|
A note on joint occupation times of spectrally negative Lévy risk processes with tax. Zbl 1392.60044
Wang, Wenyuan; Wu, Xueyuan; Peng, Xingchun; Yuen, Kam C. |
|
2018
|
Optimal investment and premium control in a nonlinear diffusion model. Zbl 1402.91220
Zhou, Ming; Yuen, Kam Chuen; Yin, Chuan-Cun |
|
2017
|
Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations. Zbl 1364.91072
Yang, Yang; Zhang, Ting; Yuen, Kam C. |
|
2017
|
On the expected penalty functions in a discrete semi-Markov risk model with randomized dividends. Zbl 1354.91081
Yuen, Kam Chuen; Chen, Mi; Wat, Kam Pui |
|
2017
|
Pricing credit derivatives under a correlated regime-switching hazard processes model. Zbl 1361.91060
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing |
|
2017
|
Valuation of CDS counterparty risk under a reduced-form model with regime-switching shot noise default intensities. Zbl 1416.91389
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing |
|
2017
|
Optimal dynamic reinsurance with dependent risks: variance premium principle. Zbl 1401.91167
Liang, Zhibin; Yuen, Kam Chuen |
|
2016
|
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence. Zbl 1348.91165
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin |
|
2016
|
Finite-time and infinite-time ruin probabilities in a two-dimensional delayed renewal risk model with Sarmanov dependent claims. Zbl 1382.91048
Yang, Yang; Yuen, Kam C. |
|
2016
|
Asymptotics for a discrete-time risk model with gamma-like insurance risks. Zbl 1401.91206
Yang, Yang; Yuen, Kam C. |
|
2016
|
Optimal dividend and reinsurance in the presence of two reinsurers. Zbl 1344.49028
Chen, Mi; Yuen, Kam Chuen |
|
2016
|
A reduced-form model for correlated defaults with regime-switching shot noise intensities. Zbl 1343.60117
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng |
|
2016
|
A regime-switching model with jumps and its application to bond pricing and insurance. Zbl 1352.60111
Dong, Yinghui; Wang, Guojing; Yuen, Kam Chuen |
|
2016
|
Empirical likelihood confidence regions for one- or two-samples with doubly censored data. Zbl 1468.62178
Shen, Junshan; Yuen, Kam Chuen; Liu, Chunling |
|
2016
|
Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs. Zbl 1328.93285
Yin, Chuancun; Yuen, Kam Chuen |
|
2015
|
Optimal proportional reinsurance with common shock dependence. Zbl 1348.91191
Yuen, Kam Chuen; Liang, Zhibin; Zhou, Ming |
|
2015
|
A new MM algorithm for constrained estimation in the proportional hazards model. Zbl 1507.62048
Ding, Jieli; Tian, Guo-Liang; Yuen, Kam Chuen |
|
2015
|
Portfolio selection by minimizing the present value of capital injection costs. Zbl 1390.91291
Zhou, Ming; Yuen, Kam C. |
|
2015
|
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory. Zbl 1310.60058
Yin, Chuancun; Yuen, Kam C. |
|
2014
|
Survival probabilities in a discrete semi-Markov risk model. Zbl 1410.91260
Chen, Mi; Yuen, Kam Chuen; Guo, Junyi |
|
2014
|
Distorted mix method for constructing copulas with tail dependence. Zbl 1304.62087
Li, Lujun; Yuen, K. C.; Yang, Jingping |
|
2014
|
Unilateral counterparty risk valuation of CDS using a regime-switching intensity model. Zbl 1287.91138
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng |
|
2014
|
Regime-switching shot-noise processes and longevity bond pricing. Zbl 1341.60069
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng |
|
2014
|
A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. Zbl 1307.91186
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng |
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2014
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Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes. Zbl 1286.60043
Shen, Ying; Yin, Chuan-Cun; Yuen, Kam Chuen |
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2013
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On a discrete-time risk model with delayed claims and dividends. Zbl 1263.91054
Yuen, Kam Chuen; Li, Jinzhu; Wu, Rong |
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2013
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Precise large deviations of aggregate claims in a size-dependent renewal risk model. Zbl 1284.60057
Chen, Yiqing; Yuen, Kam C. |
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2012
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Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model. Zbl 1286.91068
Liang, Zhibin; Yuen, Kam Chuen; Cheung, Ka Chun |
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2012
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Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables. Zbl 1252.62054
Yuen, Kam Chuen; Yin, Chuancun |
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2012
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Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Zbl 1218.91084
Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi |
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2011
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Optimality of the threshold dividend strategy for the compound Poisson model. Zbl 1225.91030
Yin, Chuancun; Yuen, Kam Chuen |
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2011
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Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims. Zbl 1275.91075
Chen, Yiqing; Yuen, Kam C.; Ng, Kai W. |
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2011
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Precise large deviations of random sums in presence of negative dependence and consistent variation. Zbl 1242.60027
Chen, Yiqing; Yuen, Kam C.; Ng, Kai W. |
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2011
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The maximum of randomly weighted sums with long tails in insurance and finance. Zbl 1232.62136
Chen, Yiqing; Ng, Kai W.; Yuen, Kam C. |
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2011
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On optimality of the barrier strategy for a general Lévy risk process. Zbl 1219.91076
Yuen, Kam Chuen; Yin, Chuancun |
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2011
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Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model. Zbl 1231.91414
Tang, Qihe; Wang, Guojing; Yuen, Kam C. |
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2010
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Further properties and new applications of the nested Dirichlet distribution. Zbl 1465.62021
Tian, Guo-Liang; Tang, Man-Lai; Yuen, Kam Chuen; Ng, Kai Wang |
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2010
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Sums of pairwise quasi-asymptotically independent random variables with consistent variation. Zbl 1181.62011
Chen, Yiqing; Yuen, Kam C. |
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2009
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The compound Poisson process perturbed by a diffusion with a threshold dividend strategy. Zbl 1224.91100
Yuen, Kam C.; Lu, Yuhua; Wu, Rong |
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2009
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Bayesian non-randomized response models for surveys with sensitive questions. Zbl 1245.62007
Tian, Guo-Liang; Yuen, Kam Chuen; Tang, Man-Lai; Tan Ming T. |
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2009
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On the renewal risk model under a threshold strategy. Zbl 1170.91014
Dong, Yinghui; Wang, Guojing; Yuen, Kam C. |
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2009
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On a risk model with debit interest and dividend payments. Zbl 1169.62089
Yuen, Kam-Chuen; Zhou, Ming; Guo, Junyi |
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2008
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The classical risk model with constant interest and threshold strategy. Zbl 1154.91499
Dong, Yinghui; Yuen, Kam C. |
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2008
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On the distributions of two classes of multiple dependent aggregate claims. Zbl 1153.91604
Wang, Rong-ming; Yuen, Kam C.; Zhu, Li-xing |
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2008
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The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. Zbl 1273.91456
Yuen, Kam C.; Wang, Guojing; Li, Wai K. |
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2007
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Asymptotics for a censored generalized linear model with unknown link function. Zbl 1112.62068
Wang, Yanhua; He, Shuyuan; Zhu, Lixing; Yuen, Kam C. |
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2007
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Ruin probabilities in Cox risk models with two dependent classes of business. Zbl 1120.60069
Guo, Jun Yi; Yuen, Kam C.; Zhou, Ming |
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2007
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A time-series risk model with constant interest for dependent classes of business. Zbl 1119.91060
Zhang, Zhiqiang; Yuen, Kam C.; Li, Wai Keung |
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2007
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On the first time of ruin in the bivariate compound Poisson model. Zbl 1095.62120
Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan |
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2006
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On the renewal risk process with stochastic interest. Zbl 1109.60071
Yuen, Kam C.; Wang, Guojing; Wu, Rong |
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2006
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On a mixture GARCH time-series model. Zbl 1115.62094
Zhang, Zhiqiang; Li, Wai Keung; Yuen, Kam Chuen |
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2006
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Some results on the compound Markov binomial model. Zbl 1144.91036
Yuen, Kam-Chuen; Guo, Junyi |
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2006
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A \(k\)-sample test with interval censored data. Zbl 1153.62322
Yuen, Kam-Chuen; Shi, Jian; Zhu, Lixing |
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2006
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On ultimate ruin in a delayed-claims risk model. Zbl 1074.60089
Yuen, Kam C.; Guo, Junyi; Ng, Kai W. |
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2005
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On a correlated aggregate claims model with thinning-dependence structure. Zbl 1120.62095
Wang, Guojing; Yuen, Kam C. |
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2005
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Some ruin problems for a risk process with stochastic interest. Zbl 1145.60320
Yuen, Kam-Chuen; Wang, Guojing |
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2005
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On Erlang(2) risk process perturbed by diffusion. Zbl 1078.60509
Yuen, Kam C.; Yang, Hailiang; Wang, Rongming |
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2005
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Optimal consumption and investment problems under GARCH with transaction costs. Zbl 1111.91015
Chen, Zhiping; Yuen, K. C. |
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2005
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Profile empirical likelihood for parametric and semiparametric models. Zbl 1095.62038
Lin, Lu; Zhu, Lixing; Yuen, K. C. |
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2005
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Ultimate ruin probability for a time-series risk model with dependent classes of insurance business. Zbl 1192.91121
Wan, Lai Mei; Yuen, Kam Chuen; Li, Wai Keung |
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2005
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Ruin probabilities for a risk process with stochastic return on investments. Zbl 1075.91029
Yuen, Kam C.; Wang, Guojing; Ng, Kai W. |
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2004
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Stochastic programming method for multiperiod consumption and investment problems with transactions costs. Zbl 1145.91379
Chen, Zhiping; Xu, Chengxian; Yuen, K. C. |
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2004
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A discrete-time risk model with interaction between classes of business. Zbl 1074.91031
Wu, Xueyuan; Yuen, Kam C. |
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2003
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Asymptotics of the goodness-of-fit test for a partial linear model with randomly censored data. Zbl 1217.62058
Chen, Min; Yuen, Kam C.; Zhu, Lixing |
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2003
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On the mean residual life regression model. Zbl 1026.62109
Yuen, K. C.; Zhu, L. X.; Tang, N. Y. |
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2003
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On a correlated aggregate claims model with Poisson and Erlang risk processes. Zbl 1074.91566
Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan |
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2002
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Resampling methods for testing a semiparametric random censorship model. Zbl 1017.62091
Zhu, L. X.; Yuen, K. C.; Tang, N. Y. |
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2002
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Comparing \(k\) cumulative incidence functions through resampling methods. Zbl 1116.62418
Yuen, Kam C.; Zhu, Lixing; Zhang, Dixin |
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2002
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Ruin probabilities for time-correlated claims in the compound binomial model. Zbl 1074.91032
Yuen, K. C.; Guo, J. Y. |
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2001
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A test of fit for a semiparametric additive risk model. Zbl 0888.62046
Yuen, K. C.; Burke, M. D. |
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1997
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Comments on some parametric models for mortality tables. Zbl 1075.62645
Yuen, Kam C. |
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1997
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Goodness-of-fit tests for the Cox model via bootstrap method. Zbl 0845.62070
Burke, Murray D.; Yuen, Kam C. |
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1995
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