Edit Profile (opens in new tab) Lin, X. Sheldon Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 3 single-authored 6 Badescu, Andrei L. 6 Willmot, Gordon E. 5 Chi, Yichun 4 Fung, Tsz Chai 4 Huang, Rongtan 4 Tan, Ken Seng 3 Gui, Wenyong 3 Yang, Hailiang 2 Gan, Guojun 2 Liu, Xiaoming 2 Tang, Dameng 2 Yang, Shuai 2 Yin, Cuihong 1 Cai, Jun 1 Chen, Tianle 1 Drekic, Steve 1 Gaillardetz, Patrice 1 Gerber, Hans U. 1 Jaimungal, Sebastian 1 Lee, Simon C. K. 1 Lin, Jianhua 1 Pavlova, Kristina P. 1 Sendova, Kristina P. 1 Wang, Xiao 1 Wu, Panpan 1 Yuan, Haili all top 5 Serials 15 Insurance Mathematics & Economics 9 North American Actuarial Journal 8 ASTIN Bulletin 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 36 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 17 Statistics (62-XX) 15 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 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 1103.91369Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve 112 2003 Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556Lin, X. Sheldon; Willmot, Gordon E. 86 1999 The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383Lin, X. Sheldon; Pavlova, Kristina P. 85 2006 The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031Lin, X. Sheldon; Willmot, Gordon E. 81 2000 Lundberg approximations for compound distributions with insurance applications. Zbl 0962.62099Willmot, Gordon E.; Lin, X. Sheldon 49 2000 A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang 48 2006 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530Lin, X. Sheldon; Tan, Ken Seng 36 2003 The compound Poisson risk model with multiple thresholds. Zbl 1152.91592Lin, X. Sheldon; Sendova, Kristina P. 34 2008 Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255Lee, Simon C. K.; Lin, X. Sheldon 26 2012 Valuation of large variable annuity portfolios under nested simulation: a functional data approach. Zbl 1318.91112Gan, Guojun; Lin, X. Sheldon 24 2015 Exact and approximate properties of the distribution of surplus before and after ruin. Zbl 0914.90074Willmot, Gordon E.; Lin, X. Sheldon 23 1998 Lundberg inequalities for renewal equations. Zbl 1003.60081Willmot, Gordon E.; Cai, Jun; Lin, X. Sheldon 20 2001 On the threshold dividend strategy for a generalized jump-diffusion risk model. Zbl 1218.91072Chi, Yichun; Lin, X. Sheldon 15 2011 A marked Cox model for the number of IBNR claims: theory. Zbl 1369.91075Badescu, Andrei L.; Lin, X. Sheldon; Tang, Dameng 13 2016 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 10 2009 Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188Gan, 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 1084.60548Lin, X. Sheldon 9 2003 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 7 2016 Fitting the Erlang mixture model to data via a GEM-CMM algorithm. Zbl 06892263Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon 7 2018 A class of mixture of experts models for general insurance: application to correlated claim frequencies. Zbl 1427.91227Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 6 2019 A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228Fung, 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 1414.91174Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng 4 2017 Introductory stochastic analysis for finance and insurance. Zbl 1094.60047Lin, X. Sheldon 4 2006 A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng 4 2019 Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 3 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 2 2020 Fitting multivariate Erlang mixtures to data: a roughness penalty approach. Zbl 1459.62199Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon 1 2021 On the consistency of penalized MLEs for Erlang mixtures. Zbl 1414.62424Yin, Cuihong; Lin, X. Sheldon; Huang, Rongtan; Yuan, Haili 1 2019 A new class of severity regression models with an application to IBNR prediction. Zbl 1475.91299Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 1 2021 Fitting multivariate Erlang mixtures to data: a roughness penalty approach. Zbl 1459.62199Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon 1 2021 A new class of severity regression models with an application to IBNR prediction. Zbl 1475.91299Fung, 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 1435.91158Lin, X. Sheldon; Yang, Shuai 2 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 6 2019 A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 6 2019 A marked Cox model for the number of IBNR claims: estimation and application. Zbl 1427.91218Badescu, Andrei L.; Chen, Tianle; Lin, X. Sheldon; Tang, Dameng 4 2019 Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon 3 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 7 2018 Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188Gan, 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 1414.91174Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng 4 2017 A marked Cox model for the number of IBNR claims: theory. Zbl 1369.91075Badescu, Andrei L.; Lin, X. Sheldon; Tang, Dameng 13 2016 Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application. Zbl 1390.62030Yin, Cuihong; Lin, X. Sheldon 7 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 24 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 26 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 15 2011 Pricing perpetual American catastrophe put options: A penalty function approach. Zbl 1163.91412Lin, X. Sheldon; Wang, Tao 10 2009 The compound Poisson risk model with multiple thresholds. Zbl 1152.91592Lin, X. Sheldon; Sendova, Kristina P. 34 2008 The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383Lin, X. Sheldon; Pavlova, Kristina P. 85 2006 A note on the dividends-penalty identity and the optimal dividend barrier. Zbl 1162.91374Gerber, Hans U.; Lin, X. Sheldon; Yang, Hailiang 48 2006 Introductory stochastic analysis for finance and insurance. Zbl 1094.60047Lin, X. Sheldon 4 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 112 2003 Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530Lin, 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 1084.60548Lin, X. Sheldon 9 2003 Lundberg inequalities for renewal equations. Zbl 1003.60081Willmot, 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 0971.91031Lin, X. Sheldon; Willmot, Gordon E. 81 2000 Lundberg approximations for compound distributions with insurance applications. Zbl 0962.62099Willmot, Gordon E.; Lin, X. Sheldon 49 2000 Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556Lin, X. Sheldon; Willmot, Gordon E. 86 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 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 all top 5 Cited in 17 Fields 446 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 257 Probability theory and stochastic processes (60-XX) 163 Statistics (62-XX) 23 Integral equations (45-XX) 16 Numerical analysis (65-XX) 14 Systems theory; control (93-XX) 13 Operations research, mathematical programming (90-XX) 10 Computer science (68-XX) 7 Integral transforms, operational calculus (44-XX) 5 Calculus of variations and optimal control; optimization (49-XX) 3 Partial differential equations (35-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 Mechanics of deformable solids (74-XX) 1 Biology and other natural sciences (92-XX) Citations by Year