Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan Optimal reinsurance and dividends with transaction costs and taxes under thinning structure. (English) Zbl 1468.91122 Scand. Actuar. J. 2021, No. 3, 198-217 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 PDF BibTeX XML Cite \textit{M. Chen} et al., Scand. Actuar. J. 2021, No. 3, 198--217 (2021; Zbl 1468.91122) Full Text: DOI arXiv OpenURL
Li, Peng; Meng, Qingbin; Yuen, Kam C.; Zhou, Ming Optimal dividend and risk control policies in the presence of a fixed transaction cost. (English) Zbl 1465.91096 J. Comput. Appl. Math. 388, Article ID 113271, 14 p. (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{P. Li} et al., J. Comput. Appl. Math. 388, Article ID 113271, 14 p. (2021; Zbl 1465.91096) Full Text: DOI OpenURL
Jiang, Xin; Yuen, Kam Chuen; Chen, Mi Optimal investment and reinsurance with premium control. (English) Zbl 1476.91128 J. Ind. Manag. Optim. 16, No. 6, 2781-2797 (2020). MSC: 91G05 49L20 91G10 93E20 PDF BibTeX XML Cite \textit{X. Jiang} et al., J. Ind. Manag. Optim. 16, No. 6, 2781--2797 (2020; Zbl 1476.91128) Full Text: DOI OpenURL
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. (English) Zbl 1429.62459 Math. Methods Oper. Res. 90, No. 1, 109-135 (2019). MSC: 62P05 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Math. Methods Oper. Res. 90, No. 1, 109--135 (2019; Zbl 1429.62459) Full Text: DOI OpenURL
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure. (English) Zbl 1418.91240 Scand. Actuar. J. 2018, No. 10, 863-889 (2018). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{X. Han} et al., Scand. Actuar. J. 2018, No. 10, 863--889 (2018; Zbl 1418.91240) Full Text: DOI OpenURL
Wei, Wei; Liang, Zhibin; Yuen, Kam Chuen Optimal reinsurance in a compound Poisson risk model with dependence. (English) Zbl 1397.91294 J. Appl. Math. Comput. 58, No. 1-2, 389-412 (2018). MSC: 91B30 PDF BibTeX XML Cite \textit{W. Wei} et al., J. Appl. Math. Comput. 58, No. 1--2, 389--412 (2018; Zbl 1397.91294) Full Text: DOI OpenURL
Liang, Zhibin; Yuen, Kam Chuen; Zhang, Caibin Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence. (English) Zbl 1410.91273 J. Appl. Math. Comput. 56, No. 1-2, 637-664 (2018). MSC: 91B30 91G10 93E20 60J75 PDF BibTeX XML Cite \textit{Z. Liang} et al., J. Appl. Math. Comput. 56, No. 1--2, 637--664 (2018; Zbl 1410.91273) Full Text: DOI Link OpenURL
Dong, Yinghui; Yuen, Kam Chuen; Wang, Guojing Regime-switching pure jump processes and applications in the valuation of mortality-linked products. (English) Zbl 1388.49020 Commun. Stat., Theory Methods 47, No. 6, 1372-1391 (2018). MSC: 49K15 44A10 47D07 60J10 93E20 PDF BibTeX XML Cite \textit{Y. Dong} et al., Commun. Stat., Theory Methods 47, No. 6, 1372--1391 (2018; Zbl 1388.49020) Full Text: DOI OpenURL
Zhou, Ming; Yuen, Kam Chuen; Yin, Chuan-Cun Optimal investment and premium control in a nonlinear diffusion model. (English) Zbl 1402.91220 Acta Math. Appl. Sin., Engl. Ser. 33, No. 4, 945-958 (2017). MSC: 91B30 62P05 93E20 PDF BibTeX XML Cite \textit{M. Zhou} et al., Acta Math. Appl. Sin., Engl. Ser. 33, No. 4, 945--958 (2017; Zbl 1402.91220) Full Text: DOI Link OpenURL
Yang, Yang; Zhang, Ting; Yuen, Kam C. Approximations for finite-time ruin probability in a dependent discrete-time risk model with CMC simulations. (English) Zbl 1364.91072 J. Comput. Appl. Math. 321, 143-159 (2017). MSC: 91B30 62E10 62P05 PDF BibTeX XML Cite \textit{Y. Yang} et al., J. Comput. Appl. Math. 321, 143--159 (2017; Zbl 1364.91072) Full Text: DOI OpenURL
Liang, Zhibin; Yuen, Kam Chuen Optimal dynamic reinsurance with dependent risks: variance premium principle. (English) Zbl 1401.91167 Scand. Actuar. J. 2016, No. 1, 18-36 (2016). MSC: 91B30 60J70 93E20 PDF BibTeX XML Cite \textit{Z. Liang} and \textit{K. C. Yuen}, Scand. Actuar. J. 2016, No. 1, 18--36 (2016; Zbl 1401.91167) Full Text: DOI Link OpenURL
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence. (English) Zbl 1348.91165 Math. Methods Oper. Res. 84, No. 1, 155-181 (2016). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{Z. Liang} et al., Math. Methods Oper. Res. 84, No. 1, 155--181 (2016; Zbl 1348.91165) Full Text: DOI OpenURL
Chen, Mi; Yuen, Kam Chuen Optimal dividend and reinsurance in the presence of two reinsurers. (English) Zbl 1344.49028 J. Appl. Probab. 53, No. 2, 554-571 (2016). MSC: 49J55 93E20 60H30 60H10 91B30 60J65 62P05 PDF BibTeX XML Cite \textit{M. Chen} and \textit{K. C. Yuen}, J. Appl. Probab. 53, No. 2, 554--571 (2016; Zbl 1344.49028) Full Text: DOI Euclid Link OpenURL
Dong, Yinghui; Yuen, Kam C.; Wang, Guojing; Wu, Chongfeng A reduced-form model for correlated defaults with regime-switching shot noise intensities. (English) Zbl 1343.60117 Methodol. Comput. Appl. Probab. 18, No. 2, 459-486 (2016). MSC: 60J28 60J27 60H30 60H10 60G55 91G40 91G80 60G46 PDF BibTeX XML Cite \textit{Y. Dong} et al., Methodol. Comput. Appl. Probab. 18, No. 2, 459--486 (2016; Zbl 1343.60117) Full Text: DOI OpenURL
Zhou, Ming; Yuen, Kam C. Portfolio selection by minimizing the present value of capital injection costs. (English) Zbl 1390.91291 ASTIN Bull. 45, No. 1, 207-238 (2015). MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{M. Zhou} and \textit{K. C. Yuen}, ASTIN Bull. 45, No. 1, 207--238 (2015; Zbl 1390.91291) Full Text: DOI OpenURL
Yuen, Kam Chuen; Liang, Zhibin; Zhou, Ming Optimal proportional reinsurance with common shock dependence. (English) Zbl 1348.91191 Insur. Math. Econ. 64, 1-13 (2015). MSC: 91B30 62P05 93E20 PDF BibTeX XML Cite \textit{K. C. Yuen} et al., Insur. Math. Econ. 64, 1--13 (2015; Zbl 1348.91191) Full Text: DOI Link OpenURL
Yin, Chuancun; Yuen, Kam C. Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory. (English) Zbl 1310.60058 Front. Math. China 9, No. 6, 1453-1471 (2014). MSC: 60G51 60G50 60J75 91B30 PDF BibTeX XML Cite \textit{C. Yin} and \textit{K. C. Yuen}, Front. Math. China 9, No. 6, 1453--1471 (2014; Zbl 1310.60058) Full Text: DOI arXiv OpenURL
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng Regime-switching shot-noise processes and longevity bond pricing. (English) Zbl 1341.60069 Lith. Math. J. 54, No. 4, 383-402 (2014). MSC: 60H30 60H10 60G51 60J25 91G40 91G80 PDF BibTeX XML Cite \textit{Y. Dong} et al., Lith. Math. J. 54, No. 4, 383--402 (2014; Zbl 1341.60069) Full Text: DOI OpenURL
Dong, Yinghui; Wang, Guojing; Yuen, Kam C. Bilateral counterparty risk valuation on a CDS with a common shock model. (English) Zbl 1307.91185 Methodol. Comput. Appl. Probab. 16, No. 3, 643-673 (2014). MSC: 91G40 91G20 60H30 60J27 PDF BibTeX XML Cite \textit{Y. Dong} et al., Methodol. Comput. Appl. Probab. 16, No. 3, 643--673 (2014; Zbl 1307.91185) Full Text: DOI OpenURL
Dong, Yinghui; Yuen, Kam C.; Wu, Chongfeng A multivariate regime-switching mean reverting process and its application to the valuation of credit risk. (English) Zbl 1307.91186 Stochastic Anal. Appl. 32, No. 4, 687-710 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G40 60J27 91G20 60G55 60H30 62P05 PDF BibTeX XML Cite \textit{Y. Dong} et al., Stochastic Anal. Appl. 32, No. 4, 687--710 (2014; Zbl 1307.91186) Full Text: DOI OpenURL
Shen, Ying; Yin, Chuan-Cun; Yuen, Kam Chuen Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes. (English) Zbl 1286.60043 Acta Math. Appl. Sin., Engl. Ser. 29, No. 4, 705-716 (2013). MSC: 60G51 93E20 91B30 PDF BibTeX XML Cite \textit{Y. Shen} et al., Acta Math. Appl. Sin., Engl. Ser. 29, No. 4, 705--716 (2013; Zbl 1286.60043) Full Text: DOI arXiv OpenURL
Liang, Zhibin; Yuen, Kam Chuen; Cheung, Ka Chun Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model. (English) Zbl 1286.91068 Appl. Stoch. Models Bus. Ind. 28, No. 6, 585-597 (2012). MSC: 91B30 91G10 60J60 60J70 60J75 PDF BibTeX XML Cite \textit{Z. Liang} et al., Appl. Stoch. Models Bus. Ind. 28, No. 6, 585--597 (2012; Zbl 1286.91068) Full Text: DOI OpenURL
Yuen, Kam Chuen; Yin, Chuancun Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables. (English) Zbl 1252.62054 Chin. Ann. Math., Ser. B 33, No. 4, 557-568 (2012). MSC: 62G32 62G20 91B30 PDF BibTeX XML Cite \textit{K. C. Yuen} and \textit{C. Yin}, Chin. Ann. Math., Ser. B 33, No. 4, 557--568 (2012; Zbl 1252.62054) Full Text: DOI arXiv OpenURL
Yin, Chuancun; Yuen, Kam Chuen Optimality of the threshold dividend strategy for the compound Poisson model. (English) Zbl 1225.91030 Stat. Probab. Lett. 81, No. 12, 1841-1846 (2011). MSC: 91B30 60G51 93E20 60K10 PDF BibTeX XML Cite \textit{C. Yin} and \textit{K. C. Yuen}, Stat. Probab. Lett. 81, No. 12, 1841--1846 (2011; Zbl 1225.91030) Full Text: DOI OpenURL
Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. (English) Zbl 1218.91084 Insur. Math. Econ. 49, No. 2, 207-215 (2011). MSC: 91B30 93E20 60J70 60K10 PDF BibTeX XML Cite \textit{Z. Liang} et al., Insur. Math. Econ. 49, No. 2, 207--215 (2011; Zbl 1218.91084) Full Text: DOI OpenURL
Yuen, Kam C.; Lu, Yuhua; Wu, Rong The compound Poisson process perturbed by a diffusion with a threshold dividend strategy. (English) Zbl 1224.91100 Appl. Stoch. Models Bus. Ind. 25, No. 1, 73-93 (2009). Reviewer: A. D. Borisenko (Kyïv) MSC: 91B30 60K10 60J70 PDF BibTeX XML Cite \textit{K. C. Yuen} et al., Appl. Stoch. Models Bus. Ind. 25, No. 1, 73--93 (2009; Zbl 1224.91100) Full Text: DOI OpenURL
Dong, Yinghui; Wang, Guojing; Yuen, Kam C. On the renewal risk model under a threshold strategy. (English) Zbl 1170.91014 J. Comput. Appl. Math. 230, No. 1, 22-33 (2009). Reviewer: Nicko G. Gamkrelidze (Moskva) MSC: 91B30 91B70 PDF BibTeX XML Cite \textit{Y. Dong} et al., J. Comput. Appl. Math. 230, No. 1, 22--33 (2009; Zbl 1170.91014) Full Text: DOI OpenURL
Yuen, Kam-Chuen; Zhou, Ming; Guo, Junyi On a risk model with debit interest and dividend payments. (English) Zbl 1169.62089 Stat. Probab. Lett. 78, No. 15, 2426-2432 (2008). MSC: 62P05 91B30 91B28 PDF BibTeX XML Cite \textit{K.-C. Yuen} et al., Stat. Probab. Lett. 78, No. 15, 2426--2432 (2008; Zbl 1169.62089) Full Text: DOI OpenURL
Yuen, Kam C.; Wang, Guojing; Li, Wai K. The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier. (English) Zbl 1273.91456 Insur. Math. Econ. 40, No. 1, 104-112 (2007). MSC: 91G50 91B30 45J05 PDF BibTeX XML Cite \textit{K. C. Yuen} et al., Insur. Math. Econ. 40, No. 1, 104--112 (2007; Zbl 1273.91456) Full Text: DOI OpenURL
Yuen, Kam-Chuen; Guo, Junyi Some results on the compound Markov binomial model. (English) Zbl 1144.91036 Scand. Actuar. J. 2006, No. 3, 129-140 (2006). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91B70 60K15 60G40 PDF BibTeX XML Cite \textit{K.-C. Yuen} and \textit{J. Guo}, Scand. Actuar. J. 2006, No. 3, 129--140 (2006; Zbl 1144.91036) Full Text: DOI OpenURL
Yuen, Kam C.; Wang, Guojing; Wu, Rong On the renewal risk process with stochastic interest. (English) Zbl 1109.60071 Stochastic Processes Appl. 116, No. 10, 1496-1510 (2006). Reviewer: Alexandra Rodkina (Kingston/Jamaica) MSC: 60K10 91B30 60K05 PDF BibTeX XML Cite \textit{K. C. Yuen} et al., Stochastic Processes Appl. 116, No. 10, 1496--1510 (2006; Zbl 1109.60071) Full Text: DOI OpenURL
Yuen, Kam-Chuen; Wang, Guojing Some ruin problems for a risk process with stochastic interest. (English) Zbl 1145.60320 N. Am. Actuar. J. 9, No. 3, 129-142 (2005). MSC: 60H30 60H10 91B30 PDF BibTeX XML Cite \textit{K.-C. Yuen} and \textit{G. Wang}, N. Am. Actuar. J. 9, No. 3, 129--142 (2005; Zbl 1145.60320) Full Text: DOI OpenURL
Yuen, Kam C.; Guo, Junyi; Wu, Xueyuan On a correlated aggregate claims model with Poisson and Erlang risk processes. (English) Zbl 1074.91566 Insur. Math. Econ. 31, No. 2, 205-214 (2002). MSC: 91B30 PDF BibTeX XML Cite \textit{K. C. Yuen} et al., Insur. Math. Econ. 31, No. 2, 205--214 (2002; Zbl 1074.91566) Full Text: DOI OpenURL