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Lin, X. Sheldon

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Author ID: lin.x-sheldon Recent zbMATH articles by "Lin, X. Sheldon"
Published as: Lin, X. Sheldon
Documents Indexed: 35 Publications since 1998, including 2 Books

Publications by Year

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 1103.91369
Lin, X. Sheldon; Willmot, Gordon E.; Drekic, Steve
105
2003
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
83
1999
The moments of the time of ruin, the surplus before ruin, and the deficit at ruin. Zbl 0971.91031
Lin, X. Sheldon; Willmot, Gordon E.
77
2000
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
76
2006
Lundberg approximations for compound distributions with insurance applications. Zbl 0962.62099
Willmot, Gordon E.; Lin, X. Sheldon
72
2000
The compound Poisson risk model with multiple thresholds. Zbl 1152.91592
Lin, X. Sheldon; Sendova, Kristina P.
32
2008
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, X. Sheldon; Tan, Ken Seng
30
2003
Exact and approximate properties of the distribution of surplus before and after ruin. Zbl 0914.90074
Willmot, Gordon E.; Lin, X. Sheldon
23
1998
Modeling dependent risks with multivariate Erlang mixtures. Zbl 1277.62255
Lee, Simon C. K.; Lin, X. Sheldon
21
2012
Lundberg inequalities for renewal equations. Zbl 1003.60081
Willmot, Gordon E.; Cai, Jun; Lin, X. Sheldon
19
2001
Valuation of large variable annuity portfolios under nested simulation: a functional data approach. Zbl 1318.91112
Gan, Guojun; Lin, X. Sheldon
18
2015
On the threshold dividend strategy for a generalized jump-diffusion risk model. Zbl 1218.91072
Chi, Yichun; Lin, X. Sheldon
14
2011
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
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 1084.60548
Lin, X. Sheldon
9
2003
A marked Cox model for the number of IBNR claims: theory. Zbl 1369.91075
Badescu, 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 1414.91188
Gan, Guojun; Lin, X. Sheldon
7
2017
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
5
2016
Fitting the Erlang mixture model to data via a GEM-CMM algorithm. Zbl 06892263
Gui, Wenyong; Huang, Rongtan; Lin, X. Sheldon
4
2018
Introductory stochastic analysis for finance and insurance. Zbl 1094.60047
Lin, X. Sheldon
3
2006
A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
2
2019
Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
2
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
1
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
1
2019
On the consistency of penalized MLEs for Erlang mixtures. Zbl 1414.62424
Yin, 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 1414.91174
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng
1
2017
An insurance risk model with stochastic volatility. Zbl 1231.91163
Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon
1
2010
Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach. Zbl 1435.91158
Lin, X. Sheldon; Yang, Shuai
1
2020
A class of mixture of experts models for general insurance: theoretical developments. Zbl 1427.91228
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
2
2019
Multivariate Cox hidden Markov models with an application to operational risk. Zbl 1422.91346
Fung, 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 1427.91227
Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon
1
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
4
2018
Efficient Greek calculation of variable annuity portfolios for dynamic hedging: a two-level metamodeling approach. Zbl 1414.91188
Gan, 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 1414.91174
Chi, Yichun; Lin, X. Sheldon; Tan, Ken Seng
1
2017
A marked Cox model for the number of IBNR claims: theory. Zbl 1369.91075
Badescu, Andrei L.; Lin, X. Sheldon; Tang, Dameng
8
2016
Efficient estimation of Erlang mixtures using iSCAD penalty with insurance application. Zbl 1390.62030
Yin, Cuihong; Lin, X. Sheldon
5
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
18
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
21
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
14
2011
An insurance risk model with stochastic volatility. Zbl 1231.91163
Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon
1
2010
Pricing perpetual American catastrophe put options: A penalty function approach. Zbl 1163.91412
Lin, X. Sheldon; Wang, Tao
9
2009
The compound Poisson risk model with multiple thresholds. Zbl 1152.91592
Lin, X. Sheldon; Sendova, Kristina P.
32
2008
The compound Poisson risk model with a threshold dividend strategy. Zbl 1157.91383
Lin, X. Sheldon; Pavlova, Kristina P.
76
2006
Introductory stochastic analysis for finance and insurance. Zbl 1094.60047
Lin, X. Sheldon
3
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
105
2003
Valuation of equity-indexed annuities under stochastic interest rates. Zbl 1084.60530
Lin, 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 1084.60548
Lin, X. Sheldon
9
2003
Lundberg inequalities for renewal equations. Zbl 1003.60081
Willmot, 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 0971.91031
Lin, X. Sheldon; Willmot, Gordon E.
77
2000
Lundberg approximations for compound distributions with insurance applications. Zbl 0962.62099
Willmot, Gordon E.; Lin, X. Sheldon
72
2000
Analysis of a defective renewal equation arising in ruin theory. Zbl 1028.91556
Lin, X. Sheldon; Willmot, Gordon E.
83
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 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

Citations by Year