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Author ID: feng.runhuan Recent zbMATH articles by "Feng, Runhuan"
Published as: Feng, Runhuan
Homepage: https://faculty.math.illinois.edu/~rfeng/
External Links: MGP · ORCID · Google Scholar · ResearchGate · dblp
Documents Indexed: 33 Publications since 2009, including 1 Book
Reviewing Activity: 2 Reviews
Co-Authors: 21 Co-Authors with 25 Joint Publications
486 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

26 Publications have been cited 223 times in 137 Documents Cited by Year
On the expectation of total discounted operating costs up to default and its applications. Zbl 1173.91023
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
33
2009
Analytical calculation of risk measures for variable annuity guaranteed benefits. Zbl 1285.91055
Feng, Runhuan; Volkmer, Hans W.
19
2012
A unified analysis of claim costs up to ruin in a Markovian arrival risk model. Zbl 1284.91214
Cheung, Eric C. K.; Feng, Runhuan
16
2013
A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model. Zbl 1333.91025
Feng, Runhuan
14
2009
On the total operating costs up to default in a renewal risk model. Zbl 1231.91183
Feng, Runhuan
12
2009
Potential measures for spectrally negative Markov additive processes with applications in ruin theory. Zbl 1339.60108
Feng, Runhuan; Shimizu, Yasutaka
11
2014
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
9
2017
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. Zbl 1170.91407
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
9
2009
Actuarial applications of epidemiological models. Zbl 1213.91089
Feng, Runhuan; Garrido, Jose
9
2011
On a generalization from ruin to default in a Lévy insurance risk model. Zbl 1307.91096
Feng, Runhuan; Shimizu, Yasutaka
9
2013
Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits. Zbl 1394.91215
Feng, Runhuan; Jing, Xiaochen
9
2017
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Zbl 1404.91256
Feng, Runhuan; Volkmer, Hans W.
9
2016
Applications of central limit theorems for equity-linked insurance. Zbl 1369.91082
Feng, Runhuan; Shimizu, Yasutaka
8
2016
An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models. Zbl 1218.91077
Feng, Runhuan
8
2011
Risk based capital for guaranteed minimum withdrawal benefit. Zbl 1402.91192
Feng, Runhuan; Vecer, Jan
7
2017
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Zbl 1354.91066
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan
7
2017
A comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method. Zbl 1414.91184
Feng, Runhuan
6
2014
A short proof of duality relations for hypergeometric functions. Zbl 1347.33016
Feng, Runhuan; Kuznetsov, Alexey; Yang, Fenghao
5
2016
Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation. Zbl 1348.91144
Feng, Runhuan; Huang, Huaxiong
5
2016
Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits. Zbl 1419.91360
Feng, Runhuan; Yi, Bingji
4
2019
Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach. Zbl 1284.91561
Feng, Runhuan; Volkmer, Hans W.
4
2012
Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends. Zbl 1205.91079
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
3
2009
An introduction to computational risk management of equity-linked insurance. Zbl 1396.91002
Feng, Runhuan
2
2018
Exponential functionals of Lévy processes and variable annuity guaranteed benefits. Zbl 1405.60060
Feng, Runhuan; Kuznetsov, Alexey; Yang, Fenghao
2
2019
Conditional Asian options. Zbl 1337.91097
Feng, Runhuan; Volkmer, Hans W.
2
2015
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits. Zbl 1431.91325
Feng, Runhuan; Volkmer, Hans W.
1
2014
Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits. Zbl 1419.91360
Feng, Runhuan; Yi, Bingji
4
2019
Exponential functionals of Lévy processes and variable annuity guaranteed benefits. Zbl 1405.60060
Feng, Runhuan; Kuznetsov, Alexey; Yang, Fenghao
2
2019
An introduction to computational risk management of equity-linked insurance. Zbl 1396.91002
Feng, Runhuan
2
2018
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model. Zbl 1414.91176
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne
9
2017
Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits. Zbl 1394.91215
Feng, Runhuan; Jing, Xiaochen
9
2017
Risk based capital for guaranteed minimum withdrawal benefit. Zbl 1402.91192
Feng, Runhuan; Vecer, Jan
7
2017
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior. Zbl 1354.91066
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan
7
2017
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit. Zbl 1404.91256
Feng, Runhuan; Volkmer, Hans W.
9
2016
Applications of central limit theorems for equity-linked insurance. Zbl 1369.91082
Feng, Runhuan; Shimizu, Yasutaka
8
2016
A short proof of duality relations for hypergeometric functions. Zbl 1347.33016
Feng, Runhuan; Kuznetsov, Alexey; Yang, Fenghao
5
2016
Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation. Zbl 1348.91144
Feng, Runhuan; Huang, Huaxiong
5
2016
Conditional Asian options. Zbl 1337.91097
Feng, Runhuan; Volkmer, Hans W.
2
2015
Potential measures for spectrally negative Markov additive processes with applications in ruin theory. Zbl 1339.60108
Feng, Runhuan; Shimizu, Yasutaka
11
2014
A comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method. Zbl 1414.91184
Feng, Runhuan
6
2014
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits. Zbl 1431.91325
Feng, Runhuan; Volkmer, Hans W.
1
2014
A unified analysis of claim costs up to ruin in a Markovian arrival risk model. Zbl 1284.91214
Cheung, Eric C. K.; Feng, Runhuan
16
2013
On a generalization from ruin to default in a Lévy insurance risk model. Zbl 1307.91096
Feng, Runhuan; Shimizu, Yasutaka
9
2013
Analytical calculation of risk measures for variable annuity guaranteed benefits. Zbl 1285.91055
Feng, Runhuan; Volkmer, Hans W.
19
2012
Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach. Zbl 1284.91561
Feng, Runhuan; Volkmer, Hans W.
4
2012
Actuarial applications of epidemiological models. Zbl 1213.91089
Feng, Runhuan; Garrido, Jose
9
2011
An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models. Zbl 1218.91077
Feng, Runhuan
8
2011
On the expectation of total discounted operating costs up to default and its applications. Zbl 1173.91023
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
33
2009
A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model. Zbl 1333.91025
Feng, Runhuan
14
2009
On the total operating costs up to default in a renewal risk model. Zbl 1231.91183
Feng, Runhuan
12
2009
The compound Poisson surplus model with interest and liquid reserves: Analysis of the Gerber-Shiu discounted penalty function. Zbl 1170.91407
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
9
2009
Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends. Zbl 1205.91079
Cai, Jun; Feng, Runhuan; Willmot, Gordon E.
3
2009
all top 5

Cited by 213 Authors

22 Feng, Runhuan
14 Cheung, Eric C. K.
9 Zhang, Zhimin
5 Cui, Zhenyu
5 Lefèvre, Claude
5 Volkmer, Hans
4 Gajek, Lesław
4 Rudź, Marcin
4 Shimizu, Yasutaka
4 Simon, Matthieu
4 Yang, Hailiang
3 Woo, Jae-Kyung
3 Yin, Chuancun
2 Augustyniak, Maciej
2 Avram, Florin
2 Ballestra, Luca Vincenzo
2 Bégin, Jean-François
2 Cai, Jun
2 Dhaene, Jan
2 Dong, Hua
2 He, Jingmin
2 Huang, Huaxiong
2 Jing, Xiaochen
2 Karp, Dmitriĭ Borisovich
2 Landriault, David
2 Li, Jingchao
2 Li, Shuanming
2 Liu, Chaolin
2 Liu, Haibo
2 Mackay, Anne
2 Mamon, Rogemar S.
2 Milevsky, Moshe Arye
2 Pacelli, Graziella
2 Palmowski, Zbigniew
2 Picard, Philippe
2 Pistorius, Martijn R.
2 Radi, Davide
2 Thonhauser, Stefan
2 Wang, Yongjin
2 Xiong, Heng
2 Yang, Hu
2 Yong, Yaodi
2 Zhang, Shuaiqi
2 Zhu, Chao
1 Adel, Waleed
1 Ahn, Soohan
1 Albrecher, Hansjörg
1 Aubry, Didier
1 Badescu, Andrei L.
1 Baumgartner, Benjamin
1 Bazgir, Hamed
1 Bernard, Carole L.
1 Bo, Lijun
1 Boudreault, Mathieu
1 Boutat, Driss
1 Brignone, Riccardo
1 Caister, Nicolette C.
1 Cani, Arian
1 Carr, Peter P.
1 Chen, An
1 Chen, Xiaowei
1 Chernov, Alexey A.
1 Chong, Wing Fung
1 Constantinescu, Corina D.
1 Da Fonseca, José
1 Dai, Hongshuai
1 Dang, Ou
1 Denuit, Michel M.
1 Di Crescenzo, Antonio
1 Dibu, A. S.
1 Dickson, David C. M.
1 Ding, Kailin
1 Dong, Yinghui
1 Dvořáčková, Hana
1 El-Gamel, Mohamed
1 Feng, Mingbin
1 Forsyth, Peter A.
1 Fusai, Gianluca
1 Gan, Guojun
1 Gao, Zhongqin
1 Gatto, Riccardo
1 Gerber, Hans U.
1 Ghazanfari, Bahman
1 Godin, Frédéric
1 Gorelov, Vasiliĭ Aleksandrovich
1 Govinder, Keshlan Sathasiva
1 Guillen, Montserrat
1 Hadjiliadis, Olympia
1 Hamel, Emmanuel
1 Hanbali, Hamza
1 Hardy, Mary Rosalyn
1 Heiny, Johannes
1 Hillairet, Caroline
1 Hoang, Vu Phuong
1 Hou, Zhenting
1 Hu, Yijun
1 Huang, Yao Tung
1 Huang, Yiming
1 Ivanovs, Jevgeņijs
1 Jacob, M. J.
...and 113 more Authors
all top 5

Cited in 43 Serials

37 Insurance Mathematics & Economics
9 Methodology and Computing in Applied Probability
9 Scandinavian Actuarial Journal
7 Journal of Computational and Applied Mathematics
7 North American Actuarial Journal
6 Journal of Applied Probability
5 ASTIN Bulletin
4 International Journal of Theoretical and Applied Finance
4 Quantitative Finance
3 Applied Mathematics and Computation
3 Statistics & Probability Letters
2 Automatica
2 Annals of Operations Research
2 Bernoulli
2 Mathematical Methods of Operations Research
2 Stochastic Models
2 Advances in Difference Equations
2 Journal of Industrial and Management Optimization
2 Mathematics and Financial Economics
2 International Journal of Applied and Computational Mathematics
1 Advances in Applied Probability
1 Lithuanian Mathematical Journal
1 Proceedings of the American Mathematical Society
1 Transactions of the American Mathematical Society
1 Acta Mathematicae Applicatae Sinica. English Series
1 Queueing Systems
1 The Annals of Applied Probability
1 Communications in Statistics. Theory and Methods
1 Stochastic Processes and their Applications
1 Mathematical Problems in Engineering
1 Abstract and Applied Analysis
1 Far East Journal of Applied Mathematics
1 Probability in the Engineering and Informational Sciences
1 Decisions in Economics and Finance
1 Sibirskie Èlektronnye Matematicheskie Izvestiya
1 Boundary Value Problems
1 Chebyshevskiĭ Sbornik
1 Frontiers of Mathematics in China
1 Mathematical Modelling of Natural Phenomena
1 SIAM Journal on Financial Mathematics
1 S\(\vec{\text{e}}\)MA Journal
1 Dependence Modeling
1 Cogent Mathematics

Citations by Year