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Research Outputs 2019 2019

  • 3 Citations
  • 1 h-Index
  • 4 Article
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Article
2019

Modelling the aggregate loss for insurance claims with dependence

Wang, N., Qian, L., Zhang, N. & Liu, Z., 2 Sep 2019, In : Communications in Statistics - Theory and Methods. 16 p.

Research output: Contribution to journalArticleResearchpeer-review

Insurance
Modeling
Count
Metropolis-Hastings Algorithm
Generalized Linear Mixed Model

Pricing and hedging equity-indexed annuities via local risk-minimization

Qian, L., Wang, W., Wang, N. & Wang, S., 19 Mar 2019, In : Communications in Statistics - Theory and Methods. 48, 6, p. 1417-1434 18 p.

Research output: Contribution to journalArticleResearchpeer-review

Hedging
Equity
Pricing
Esscher Transform
Regime-switching Model

Robust non-zero-sum investment and reinsurance game with default risk

Wang, N., Zhang, N., Jin, Z. & Qian, L., Jan 2019, In : Insurance: Mathematics and Economics. 84, p. 115-132 18 p.

Research output: Contribution to journalArticleResearchpeer-review

Insurer
Reinsurance
Default risk
Investment strategy
Assets

Robust reinsurance contracts with risk constraint

Wang, N. & Siu, T. K., 30 Oct 2019, In : Scandinavian Actuarial Journal. 35 p.

Research output: Contribution to journalArticleResearchpeer-review

Reinsurance
Expected Utility
Maximise
Proportional Reinsurance
Exponential Utility