Edit Profile Lin, X. Sheldon Compute Distance To: Compute Author ID: lin.x-sheldon Published as: Lin, X. Sheldon Documents Indexed: 35 Publications since 1998, including 2 Books all top 5 Co-Authors 3 single-authored 6 Willmot, Gordon E. 5 Badescu, Andrei L. 5 Chi, Yichun 4 Huang, Rongtan 3 Fung, Tsz Chai 3 Gui, Wenyong 2 Gan, Guojun 2 Tan, Ken Seng 2 Tang, Dameng 2 Yang, Shuai 2 Yin, Cuihong 1 Cai, Jun 1 Chen, Tianle 1 Drekic, Steve 1 Jaimungal, Sebastian 1 Lee, Simon C. K. 1 Lin, Jianhua 1 Liu, Xiaoming 1 Pavlova, Kristina P. 1 Sendova, Kristina P. 1 Wang, Tao 1 Wang, Xiao 1 Wu, Panpan 1 Yuan, Haili all top 5 Serials 15 Insurance Mathematics & Economics 7 ASTIN Bulletin 4 North American Actuarial Journal 2 Journal of Computational and Applied Mathematics 1 Advances in Applied Probability 1 Statistics & Probability Letters 1 Journal of Mathematical Study 1 Scandinavian Actuarial Journal 1 Lecture Notes in Statistics 1 European Actuarial Journal 1 Wiley Series in Probability and Statistics all top 5 Fields 30 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 16 Statistics (62-XX) 13 Probability theory and stochastic processes (60-XX) 1 Ordinary differential equations (34-XX) 1 Integral equations (45-XX) 1 Operations research, mathematical programming (90-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 31 Publications have been cited 662 times in 448 Documents Cited by ▼ Year ▼ The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Zbl 1103.91369Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve 105 2003 Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556Lin, X. Sheldon; Willmot, Gordon E. 83 1999 The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031Lin, X. Sheldon; Willmot, Gordon E. 77 2000 The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383Lin, X. Sheldon; Pavlova, Kristina P. 76 2006 Lundberg approximations for compound distributions with insurance applications. Zbl 0962.62099Willmot, Gordon E.; Lin, X. Sheldon 72 2000 The compound Poisson risk model with multiple thresholds. Zbl 1152.91592Lin, X. Sheldon; Sendova, Kristina P. 32 2008 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530Lin, X. Sheldon; Tan, Ken Seng 30 2003 Exact and approximate properties of the distribution of surplus before and after ruin. Zbl 0914.90074Willmot, Gordon E.; Lin, X. Sheldon 23 1998 Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255Lee, Simon C. K.; Lin, X. Sheldon 21 2012 Lundberg inequalities for renewal equations. Zbl 1003.60081Willmot, Gordon E.; Cai, Jun; Lin, X. Sheldon 19 2001 Valuation of large variable annuity portfolios under nested simulation: a functional data approach. Zbl 1318.91112Gan, Guojun; Lin, X. Sheldon 18 2015 On the threshold dividend strategy for a generalized jump-diffusion risk model. Zbl 1218.91072Chi, Yichun; Lin, X. Sheldon 14 2011 Double barrier hitting time distributions with applications to exotic options. Zbl 0942.60066Lin, X. Sheldon 12 1998 Optimal reinsurance with limited ceded risk: a stochastic dominance approach. Zbl 1290.91082Chi, Yichun; Lin, X. Sheldon 10 2014 Pricing perpetual American catastrophe put options: A penalty function approach. Zbl 1163.91412Lin, X. Sheldon; Wang, Tao 9 2009 “Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60548Lin, X. Sheldon 9 2003 A marked Cox model for the number of IBNR claims: theory. Zbl 1369.91075Badescu, Andrei L.; Lin, X. Sheldon; Tang, Dameng 8 2016 Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188Gan, Guojun; Lin, X. Sheldon 7 2017 Are flexible premium variable annuities under-priced? Zbl 1277.91078Chi, Yichun; Lin, X. Sheldon 7 2012 A subordinated Markov model for stochastic mortality. Zbl 1273.91239Liu, Xiaoming; Lin, X. Sheldon 7 2012 Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application. Zbl 1390.62030Yin, Cuihong; Lin, X. Sheldon 5 2016 Fitting the Erlang mixture model to data via a GEM-CMM algorithm. Zbl 06892263Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon 4 2018 Introductory stochastic analysis for finance and insurance. Zbl 1094.60047Lin, X. Sheldon 3 2006 A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 2 2019 Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 2 2019 Move-based hedging of variable annuities: a semi-analytic approach. Zbl 1371.91179Lin, X. Sheldon; Wu, Panpan; Wang, Xiao 2 2016 Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. Zbl 1435.91158Lin, X. Sheldon; Yang, Shuai 1 2020 A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 1 2019 On the consistency of penalized MLEs for Erlang mixtures. Zbl 1414.62424Yin, Cuihong; Lin, X. Sheldon; Huang, Rongtan; Yuan, Haili 1 2019 Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng 1 2017 An insurance risk model with stochastic volatility. Zbl 1231.91163Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon 1 2010 Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. Zbl 1435.91158Lin, X. Sheldon; Yang, Shuai 1 2020 A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 2 2019 Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 2 2019 A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 1 2019 On the consistency of penalized MLEs for Erlang mixtures. Zbl 1414.62424Yin, Cuihong; Lin, X. Sheldon; Huang, Rongtan; Yuan, Haili 1 2019 Fitting the Erlang mixture model to data via a GEM-CMM algorithm. Zbl 06892263Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon 4 2018 Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188Gan, Guojun; Lin, X. Sheldon 7 2017 Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng 1 2017 A marked Cox model for the number of IBNR claims: theory. Zbl 1369.91075Badescu, Andrei L.; Lin, X. Sheldon; Tang, Dameng 8 2016 Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application. Zbl 1390.62030Yin, Cuihong; Lin, X. Sheldon 5 2016 Move-based hedging of variable annuities: a semi-analytic approach. Zbl 1371.91179Lin, X. Sheldon; Wu, Panpan; Wang, Xiao 2 2016 Valuation of large variable annuity portfolios under nested simulation: a functional data approach. Zbl 1318.91112Gan, Guojun; Lin, X. Sheldon 18 2015 Optimal reinsurance with limited ceded risk: a stochastic dominance approach. Zbl 1290.91082Chi, Yichun; Lin, X. Sheldon 10 2014 Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255Lee, Simon C. K.; Lin, X. Sheldon 21 2012 Are flexible premium variable annuities under-priced? Zbl 1277.91078Chi, Yichun; Lin, X. Sheldon 7 2012 A subordinated Markov model for stochastic mortality. Zbl 1273.91239Liu, Xiaoming; Lin, X. Sheldon 7 2012 On the threshold dividend strategy for a generalized jump-diffusion risk model. Zbl 1218.91072Chi, Yichun; Lin, X. Sheldon 14 2011 An insurance risk model with stochastic volatility. Zbl 1231.91163Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon 1 2010 Pricing perpetual American catastrophe put options: A penalty function approach. Zbl 1163.91412Lin, X. Sheldon; Wang, Tao 9 2009 The compound Poisson risk model with multiple thresholds. Zbl 1152.91592Lin, X. Sheldon; Sendova, Kristina P. 32 2008 The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383Lin, X. Sheldon; Pavlova, Kristina P. 76 2006 Introductory stochastic analysis for finance and insurance. Zbl 1094.60047Lin, X. Sheldon 3 2006 The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Zbl 1103.91369Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve 105 2003 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530Lin, X. Sheldon; Tan, Ken Seng 30 2003 “Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60548Lin, X. Sheldon 9 2003 Lundberg inequalities for renewal equations. Zbl 1003.60081Willmot, Gordon E.; Cai, Jun; Lin, X. Sheldon 19 2001 The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031Lin, X. Sheldon; Willmot, Gordon E. 77 2000 Lundberg approximations for compound distributions with insurance applications. Zbl 0962.62099Willmot, Gordon E.; Lin, X. Sheldon 72 2000 Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556Lin, X. Sheldon; Willmot, Gordon E. 83 1999 Exact and approximate properties of the distribution of surplus before and after ruin. Zbl 0914.90074Willmot, Gordon E.; Lin, X. Sheldon 23 1998 Double barrier hitting time distributions with applications to exotic options. Zbl 0942.60066Lin, X. Sheldon 12 1998 all cited Publications top 5 cited Publications all top 5 Cited by 510 Authors 32 Willmot, Gordon E. 22 Lin, X. Sheldon 21 Zhang, Zhimin 19 Landriault, David 18 Li, Shuanming 14 Cheung, Eric C. K. 14 Dickson, David C. M. 13 Politis, Konstadinos 13 Yang, Hailiang 11 Psarrakos, Georgios 11 Yang, Hu 11 Yin, Chuancun 10 Badescu, Andrei L. 10 Chi, Yichun 9 Drekic, Steve 9 Feng, Runhuan 9 Gan, Guojun 8 Sendova, Kristina P. 8 Woo, Jae-Kyung 7 Albrecher, Hansjörg 7 Cai, Jun 7 Gerber, Hans U. 7 Marceau, Étienne 7 Tsai, Cary Chi-Liang 7 Valdez, Emiliano A. 6 Cossette, Hélène 6 Frostig, Esther 6 Hu, Yijun 6 Jiang, Wuyuan 6 Xie, Jiehua 6 Zou, Wei 5 Chadjiconstantinidis, Stathis 5 Garrido, José Luis 5 Liu, Zaiming 5 Lu, Yi 5 Shiu, Elias S. W. 5 Wang, Rongming 5 Wu, Rong 5 Zhou, Ming 4 Boxma, Onno Johan 4 Lee, Wing Yan 4 Palmowski, Zbigniew 4 Papaioannou, Apostolos D. 4 Perry, David 4 Pitts, Susan M. 4 Siu, Tak Kuen 4 Yang, Zhaojun 4 Yuan, Haili 4 Yuen, Kam Chuen 3 Fung, Tsz Chai 3 Gaillardetz, Patrice 3 Gao, Jianwei 3 Guo, Junyi 3 Huang, Rongtan 3 Kim, Bara 3 Kim, Hwansung 3 Kyprianou, Andreas E. 3 Liu, Donghai 3 Pavlova, Kristina P. 3 Ragulina, Olena 3 Ratovomirija, Gildas 3 Ren, Jiandong 3 Romera, Rosario 3 Sangüesa, Carmen 3 Shimizu, Yasutaka 3 Stanford, David A. 3 Tang, Qihe 3 Wang, Wenyuan 3 Wen, Yuzhen 3 Zhang, Chunsheng 2 Ahn, Soohan 2 Antonio, Katrien 2 Avanzi, Benjamin 2 Bao, Zhenhua 2 Boonen, Tim J. 2 Cheng, Yebin 2 Claramunt, M. Mercè 2 Coleman, Thomas F. 2 Constantinescu, Corina D. 2 Cui, Zhenyu 2 Deng, Yingchun 2 Dermitzakis, Vaios 2 Diasparra, Maikol A. 2 Dong, Hua 2 Egídio dos Reis, Alfredo D. 2 Gao, Heli 2 Gao, Huan 2 Grahovac, Danijel 2 Gui, Wenyong 2 Guillen, Montserrat 2 Hejazi, Seyed Amir 2 Hipp, Christian 2 Huang, Huaxiong 2 Huang, Yujuan 2 Jackson, Kenneth R. 2 Kim, Geonwoo 2 Kim, Jerim 2 Kim, Soyeun 2 Labbé, Chantal 2 Lemieux, Christiane ...and 410 more Authors all top 5 Cited in 75 Serials 148 Insurance Mathematics & Economics 37 Scandinavian Actuarial Journal 28 North American Actuarial Journal 27 Statistics & Probability Letters 22 Journal of Computational and Applied Mathematics 17 ASTIN Bulletin 13 Methodology and Computing in Applied Probability 12 Applied Mathematics and Computation 10 Journal of Applied Probability 9 European Actuarial Journal 7 Acta Mathematicae Applicatae Sinica. English Series 6 Abstract and Applied Analysis 6 Stochastic Models 6 Journal of Industrial and Management Optimization 5 Advances in Applied Probability 5 Applied Mathematics. Series B (English Edition) 4 European Journal of Operational Research 4 Frontiers of Mathematics in China 4 Modern Stochastics. Theory and Applications 3 Lithuanian Mathematical Journal 3 Queueing Systems 3 Applied Stochastic Models in Business and Industry 3 Dependence Modeling 2 Journal of Mathematical Psychology 2 Journal of Economic Dynamics & Control 2 Communications in Statistics. Theory and Methods 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Mathematical Methods of Operations Research 2 Discrete Dynamics in Nature and Society 2 International Journal of Theoretical and Applied Finance 2 Probability in the Engineering and Informational Sciences 2 Journal of Systems Science and Complexity 2 Journal of Probability and Statistics 1 Indian Journal of Pure & Applied Mathematics 1 Journal of Mathematical Analysis and Applications 1 Chaos, Solitons and Fractals 1 Theory of Probability and its Applications 1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik) 1 Operations Research Letters 1 Applied Mathematics and Mechanics. (English Edition) 1 Chinese Annals of Mathematics. Series B 1 Stochastic Analysis and Applications 1 Bulletin of the Iranian Mathematical Society 1 Parallel Computing 1 Applied Mathematics Letters 1 Mathematical and Computer Modelling 1 Annals of Operations Research 1 The Annals of Applied Probability 1 Computational Statistics 1 Stochastic Processes and their Applications 1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 1 Computational Statistics and Data Analysis 1 Indagationes Mathematicae. New Series 1 Tatra Mountains Mathematical Publications 1 Journal of Mathematical Sciences (New York) 1 Top 1 Lifetime Data Analysis 1 Mathematical Problems in Engineering 1 Finance and Stochastics 1 Wuhan University Journal of Natural Sciences (WUJNS) 1 Extremes 1 Acta Mathematica Sinica. English Series 1 Lobachevskii Journal of Mathematics 1 Quantitative Finance 1 Journal of Applied Mathematics 1 Computational Management Science 1 Advances in Difference Equations 1 Stochastics 1 Journal of the Korean Statistical Society 1 Advances in Data Analysis and Classification. ADAC 1 Mathematical Modelling of Natural Phenomena 1 SIAM Journal on Financial Mathematics 1 Sankhyā. Series A 1 Arabian Journal of Mathematics 1 Cogent Mathematics all top 5 Cited in 16 Fields 401 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 240 Probability theory and stochastic processes (60-XX) 149 Statistics (62-XX) 22 Integral equations (45-XX) 17 Numerical analysis (65-XX) 13 Operations research, mathematical programming (90-XX) 12 Systems theory; control (93-XX) 6 Integral transforms, operational calculus (44-XX) 6 Computer science (68-XX) 2 Partial differential equations (35-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 1 Real functions (26-XX) 1 Ordinary differential equations (34-XX) 1 Approximations and expansions (41-XX) 1 Harmonic analysis on Euclidean spaces (42-XX) 1 Biology and other natural sciences (92-XX) Citations by Year