Finsurance: Theory, Computation and Applications

Names in bold represent MITACS investigators. Names underlined represent students funded as part of the seed project.

Refereed Contributions
1. Articles in refereed publications
  
  Published/Accepted
  - M.A. Milevsky and H. Huang. "Spending retirement on planet Vulcan: the impact of longevity risk aversion on optimal withdrawal rates", Financial Analysts Journal, 67 (2011).
  - S. Jaimungal and G. Sigloch. " Incorporating Risk Aversion and Model Misspecification into Structural Models of Default ". To appear, Mathematical Finance (2011).
  - H. Ku, "Randomized stopping times and coherent multiperiod risk measures", to appear, Stochastics (2011).
  - Y. Chi and X. S. Lin, "On the threshold dividend strategy for a generalized jump-diffusion risk model", to appear, Insurance: Mathematics and Economics (2011).
  - G. E. Willmot and X. S. Lin, "Risk modelling with the mixed Erlang distribution", to appear, Applied Stochastic Models in Business and Industry (2011).
  - S. C. K. Lee and X. S. Lin, "Modeling and evaluating insurance losses via mixtures of Erlang distributions", North American Actuarial Journal 14 (2010), pp. 107-130.
  - Y. Chi, S. Jaimungal and X. S. Lin. " An Insurance Risk Model with Stochastic Volatility ". Insurance: Mathematics and Economics 46 (2010), pp. 52-66.
  - S. Jaimungal and Eddie K.H. Ng, "Kernel Based Copula Process". Proceedings of the 19th European Conference on Machine Learning, 2009, p. 628- 643.
  - H. Huang, M.A. Milevsky, T.S. Salisbury." A Different Perspective on Retirement Income Sustainability: The Blueprint for a Ruin Contingent Life Annuity (RCLA)". J. of Wealth Management 11 (2009), pp. 89-96
  - Y. Wang. "Quantile Hedging for Guaranteed Minimum Death Benefits". Insurance: Mathematics and Economics, vol. 45 (2009), pp. 449-458.
  Submitted
  - M. Cara, H. Huang and M.A. Milevsky. "Will jumps ruin your retirement? A moment matching perspective". Submitted to Insurance: Mathematics and Economics (2011).
  - H. Huang, M.A. Milevsky, and T.S. Salisbury. "Calibrating Yaari in the 21st Century, Part I: Consumption Under a Stochastic Force of Mortality". Submitted (2011).
  - H. Huang, M.A. Milevsky, T.S. Salisbury. "Mortality Derivatives: Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)". Submitted (2011).
  - J.-P. Fouque, S. Jaimungal, and M. Lorig, "Spectral decomposition of option prices in fast mean-reverting stochastic volatility models". Submitted (2010).
  - S. Jaimungal, A. Kreinin and A. Valov, "Randomized first passage times". Submitted (2010).
  - Z. Ben-Salah and R. Momeya, "The minimal entropy martingale measure (MEMM) for a Markov-modulated Levy model". Submitted (2010).
  - A. Kuznetsov and M. Morales, "Computing the finite-time expected discounted penalty function for a family of Levy risk processes", Submitted (2010).
  - Y. Chi and X. S. Lin, "Are Flexible Premium Variable Annuities Underpriced?", Submitted (2010).
  - S. C. K. Lee and X. S. Lin, "Modeling dependent risks with multivariate Erlang mixtures", Submitted (2010).
  - R. Momeya and M. Morales, "On the price of risk of the underlying Markov chain in a regime-switching exponential Levy model", Submitted (2010).
  - S. Jaimungal, A. Kreinin and A. Valov. "Integral Equations and the First Passage Time of Brownian Motions". Submitted (2009).
2. Other refereed contributions

Non-refereed contributions