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Author ID: lin.x-sheldon Recent zbMATH articles by "Lin, X. Sheldon"
Published as: Lin, X. Sheldon
Documents Indexed: 41 Publications since 1998, including 2 Books
Co-Authors: 25 Co-Authors with 36 Joint Publications
582 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

34 Publications have been cited 764 times in 498 Documents Cited by Year
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Zbl 1103.91369
Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve
112
2003
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
86
1999
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
85
2006
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031
Lin, X. Sheldon; Willmot, Gordon E.
81
2000
Lundberg approximations for compound distributions with insurance applications. Zbl 0962.62099
Willmot, Gordon E.; Lin, X. Sheldon
49
2000
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang
48
2006
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
36
2003
The compound Poisson risk model with multiple thresholds. Zbl 1152.91592
Lin, X. Sheldon; Sendova, Kristina P.
34
2008
Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255
Lee, Simon C. K.; Lin, X. Sheldon
26
2012
Valuation of large variable annuity portfolios under nested simulation: a functional data approach. Zbl 1318.91112
Gan, Guojun; Lin, X. Sheldon
24
2015
Exact and approximate properties of the distribution of surplus before and after ruin. Zbl 0914.90074
Willmot, Gordon E.; Lin, X. Sheldon
23
1998
Lundberg inequalities for renewal equations. Zbl 1003.60081
Willmot, Gordon E.; Cai, Jun; Lin, X. Sheldon
20
2001
On the threshold dividend strategy for a generalized jump-diffusion risk model. Zbl 1218.91072
Chi, Yichun; Lin, X. Sheldon
15
2011
A marked Cox model for the number of IBNR claims: theory. Zbl 1369.91075
Badescu, Andrei L.; Lin, X. Sheldon; Tang, Dameng
13
2016
Double barrier hitting time distributions with applications to exotic options. Zbl 0942.60066
Lin, X. Sheldon
12
1998
Optimal reinsurance with limited ceded risk: a stochastic dominance approach. Zbl 1290.91082
Chi, Yichun; Lin, X. Sheldon
10
2014
Pricing perpetual American catastrophe put options: A penalty function approach. Zbl 1163.91412
Lin, X. Sheldon; Wang, Tao
10
2009
Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188
Gan, Guojun; Lin, X. Sheldon
9
2017
“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 1084.60548
Lin, X. Sheldon
9
2003
Are flexible premium variable annuities under-priced? Zbl 1277.91078
Chi, Yichun; Lin, X. Sheldon
7
2012
A subordinated Markov model for stochastic mortality. Zbl 1273.91239
Liu, Xiaoming; Lin, X. Sheldon
7
2012
Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application. Zbl 1390.62030
Yin, Cuihong; Lin, X. Sheldon
7
2016
Fitting the Erlang mixture model to data via a GEM-CMM algorithm. Zbl 06892263
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon
7
2018
A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
6
2019
A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
6
2019
Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng
4
2017
Introductory stochastic analysis for finance and insurance. Zbl 1094.60047
Lin, X. Sheldon
4
2006
A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218
Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng
4
2019
Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
3
2019
Move-based hedging of variable annuities: a semi-analytic approach. Zbl 1371.91179
Lin, X. Sheldon; Wu, Panpan; Wang, Xiao
2
2016
Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. Zbl 1435.91158
Lin, X. Sheldon; Yang, Shuai
2
2020
Fitting multivariate Erlang mixtures to data: a roughness penalty approach. Zbl 1459.62199
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon
1
2021
On the consistency of penalized MLEs for Erlang mixtures. Zbl 1414.62424
Yin, Cuihong; Lin, X. Sheldon; Huang, Rongtan; Yuan, Haili
1
2019
A new class of severity regression models with an application to IBNR prediction. Zbl 1475.91299
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
1
2021
Fitting multivariate Erlang mixtures to data: a roughness penalty approach. Zbl 1459.62199
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon
1
2021
A new class of severity regression models with an application to IBNR prediction. Zbl 1475.91299
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
1
2021
Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. Zbl 1435.91158
Lin, X. Sheldon; Yang, Shuai
2
2020
A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
6
2019
A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
6
2019
A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218
Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng
4
2019
Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
3
2019
On the consistency of penalized MLEs for Erlang mixtures. Zbl 1414.62424
Yin, Cuihong; Lin, X. Sheldon; Huang, Rongtan; Yuan, Haili
1
2019
Fitting the Erlang mixture model to data via a GEM-CMM algorithm. Zbl 06892263
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon
7
2018
Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188
Gan, Guojun; Lin, X. Sheldon
9
2017
Optimal reinsurance under the risk-adjusted value of an insurer’s liability and an economic reinsurance premium principle. Zbl 1414.91174
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng
4
2017
A marked Cox model for the number of IBNR claims: theory. Zbl 1369.91075
Badescu, Andrei L.; Lin, X. Sheldon; Tang, Dameng
13
2016
Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application. Zbl 1390.62030
Yin, Cuihong; Lin, X. Sheldon
7
2016
Move-based hedging of variable annuities: a semi-analytic approach. Zbl 1371.91179
Lin, X. Sheldon; Wu, Panpan; Wang, Xiao
2
2016
Valuation of large variable annuity portfolios under nested simulation: a functional data approach. Zbl 1318.91112
Gan, Guojun; Lin, X. Sheldon
24
2015
Optimal reinsurance with limited ceded risk: a stochastic dominance approach. Zbl 1290.91082
Chi, Yichun; Lin, X. Sheldon
10
2014
Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255
Lee, Simon C. K.; Lin, X. Sheldon
26
2012
Are flexible premium variable annuities under-priced? Zbl 1277.91078
Chi, Yichun; Lin, X. Sheldon
7
2012
A subordinated Markov model for stochastic mortality. Zbl 1273.91239
Liu, Xiaoming; Lin, X. Sheldon
7
2012
On the threshold dividend strategy for a generalized jump-diffusion risk model. Zbl 1218.91072
Chi, Yichun; Lin, X. Sheldon
15
2011
Pricing perpetual American catastrophe put options: A penalty function approach. Zbl 1163.91412
Lin, X. Sheldon; Wang, Tao
10
2009
The compound Poisson risk model with multiple thresholds. Zbl 1152.91592
Lin, X. Sheldon; Sendova, Kristina P.
34
2008
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
85
2006
A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374
Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang
48
2006
Introductory stochastic analysis for finance and insurance. Zbl 1094.60047
Lin, X. Sheldon
4
2006
The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function. Zbl 1103.91369
Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve
112
2003
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
36
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 1084.60548
Lin, X. Sheldon
9
2003
Lundberg inequalities for renewal equations. Zbl 1003.60081
Willmot, Gordon E.; Cai, Jun; Lin, X. Sheldon
20
2001
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031
Lin, X. Sheldon; Willmot, Gordon E.
81
2000
Lundberg approximations for compound distributions with insurance applications. Zbl 0962.62099
Willmot, Gordon E.; Lin, X. Sheldon
49
2000
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
86
1999
Exact and approximate properties of the distribution of surplus before and after ruin. Zbl 0914.90074
Willmot, Gordon E.; Lin, X. Sheldon
23
1998
Double barrier hitting time distributions with applications to exotic options. Zbl 0942.60066
Lin, X. Sheldon
12
1998
all top 5

Cited by 539 Authors

35 Willmot, Gordon E.
24 Lin, X. Sheldon
21 Landriault, David
21 Li, Shuanming
21 Zhang, Zhimin
20 Cheung, Eric C. K.
16 Dickson, David C. M.
16 Yang, Hailiang
13 Gerber, Hans U.
13 Politis, Konstadinos
12 Albrecher, Hansjörg
12 Yang, Hu
12 Yin, Chuancun
11 Badescu, Andrei L.
11 Chi, Yichun
11 Drekic, Steve
11 Feng, Runhuan
11 Woo, Jae-Kyung
9 Gan, Guojun
9 Sendova, Kristina P.
9 Shiu, Elias S. W.
8 Lu, Yi
8 Tsai, Cary Chi-Liang
8 Valdez, Emiliano A.
8 Wu, Rong
7 Cai, Jun
7 Psarrakos, Georgios
6 Chadjiconstantinidis, Stathis
6 Cossette, Hélène
6 Hu, Yijun
6 Jiang, Wuyuan
6 Marceau, Étienne
6 Xie, Jiehua
6 Zou, Wei
5 Liu, Zaiming
5 Palmowski, Zbigniew
5 Schmidli, Hanspeter
5 Wang, Rongming
5 Yuan, Haili
5 Zhou, Ming
4 Avanzi, Benjamin
4 Avram, Florin
4 Frostig, Esther
4 Fung, Tsz Chai
4 Gaillardetz, Patrice
4 Lee, Wing Yan
4 Molent, Andrea
4 Papaioannou, Apostolos D.
4 Pitts, Susan M.
4 Siu, Tak Kuen
4 Stanford, David A.
4 Tan, Ken Seng
4 Wang, Wenyuan
4 Yang, Zhaojun
4 Yuen, Kam Chuen
4 Zanette, Antonino
3 Boonen, Tim J.
3 Gao, Jianwei
3 Goudenège, Ludovic
3 Guo, Junyi
3 He, Jingmin
3 Huang, Rongtan
3 Kim, Bara
3 Kim, Hwasung
3 Li, Yuying
3 Liu, Donghai
3 Mamon, Rogemar S.
3 Pavlova, Kristina P.
3 Ragulina, Olena
3 Ratovomirija, Gildas
3 Ren, Jiandong
3 Shimizu, Yasutaka
3 Tang, Qihe
3 Wang, Wei
3 Wen, Yuzhen
3 Wong, Bernard
3 Yang, Xiangqun
3 Zhang, Chunsheng
3 Zhou, Xiaowen
2 Ahn, Soohan
2 Antonio, Katrien
2 Bao, Zhenhua
2 Chen, Ping
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 Dong, Hua
2 Egídio dos Reis, Alfredo D.
2 Fang, Ying
2 Furman, Edward
2 Gao, Heli
2 Gao, Huan
2 Ghossoub, Mario
2 Grahovac, Danijel
2 Gui, Wenyong
2 Guillen, Montserrat
...and 439 more Authors
all top 5

Cited in 79 Serials

155 Insurance Mathematics & Economics
49 North American Actuarial Journal
40 Scandinavian Actuarial Journal
25 ASTIN Bulletin
23 Journal of Computational and Applied Mathematics
22 Statistics & Probability Letters
14 Methodology and Computing in Applied Probability
13 Applied Mathematics and Computation
10 Acta Mathematicae Applicatae Sinica. English Series
10 European Actuarial Journal
9 Journal of Applied Probability
6 Stochastic Models
6 Journal of Industrial and Management Optimization
5 Advances in Applied Probability
5 Applied Mathematics. Series B (English Edition)
5 Abstract and Applied Analysis
5 Modern Stochastics. Theory and Applications
4 Communications in Statistics. Theory and Methods
4 Frontiers of Mathematics in China
3 Lithuanian Mathematical Journal
3 Queueing Systems
3 European Journal of Operational Research
3 Mathematical Methods of Operations Research
3 Applied Stochastic Models in Business and Industry
3 Dependence Modeling
2 Journal of Mathematical Psychology
2 Journal of Economic Dynamics & Control
2 The Annals of Applied Probability
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Discrete Dynamics in Nature and Society
2 International Journal of Theoretical and Applied Finance
2 Probability in the Engineering and Informational Sciences
2 Quantitative Finance
2 Journal of Systems Science and Complexity
2 Computational Management Science
2 Journal of the Korean Statistical Society
2 Journal of Probability and Statistics
1 Indian Journal of Pure & Applied Mathematics
1 Periodica Mathematica Hungarica
1 Chaos, Solitons and Fractals
1 Applied Mathematics and Optimization
1 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
1 Mathematics and Computers in Simulation
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 Mathematical and Computer Modelling
1 Annals of Operations Research
1 Computational Statistics and Data Analysis
1 Indagationes Mathematicae. New Series
1 Tatra Mountains Mathematical Publications
1 SIAM Journal on Scientific Computing
1 Theory of Probability and Mathematical Statistics
1 Journal of Mathematical Sciences (New York)
1 Filomat
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 Decisions in Economics and Finance
1 Journal of Applied Mathematics
1 Journal of Applied Mathematics and Computing
1 Advances in Difference Equations
1 Stochastics
1 Thailand Statistician
1 Advances in Data Analysis and Classification. ADAC
1 Electronic Journal of Statistics
1 Mathematical Modelling of Natural Phenomena
1 SIAM Journal on Financial Mathematics
1 Sankhyā. Series A
1 Mathematical Control and Related Fields
1 Arabian Journal of Mathematics
1 Cogent Mathematics

Citations by Year