Finsurance: Theory, Computation and Applications


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

Refereed Contributions - Published or Accepted

Y. Chong and S. Jaimungal. "Valuing clustering in catastrophe derivatives". To appear, Quantitative Finance (2013).

H. Huang, M.A. Milevsky, and T.S. Salisbury. "Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)". To appear, J. Risk and Insurance (2013).

A. Cartea and S. Jaimungal, "Risk metrics and fine tuning of high frequency trading strategies". To appear, Mathematical Finance (2013)

Y. Chi and X. S. Lin, "Are Flexible Premium Variable Annuities Underpriced?". To appear, ASTIN Bulletin (2013).

D. Jun and H. Ku "Valuation of American partial barrier options". To appear, Review of Derivatives Research (2013)

D. Jun and H. Ku "Digital barrier option contract with exponential random time". To appear, IMA Journal of Applied Mathematics (2013)

A. Kuznetsov and M. Morales, "Computing the finite-time expected discounted penalty function for a family of Levy risk processes". To appear, Scandinavian Actuarial Journal (2013).

D. Jun and H. Ku. "Pricing chained options with curved boundaries", To appear, Mathematical Finance (2013).

S. Jaimungal, A. Valov, and A. Kreinin. "The generalized Shiryaev's problem and Skorohod embedding". To appear, Theory of Probability and its Applications (2013).

S. Jaimungal, M.O. de Souza and J.P. Zubelli, "Real option pricing with mean-reverting investment and project value". To appear, European J. Finance (2013).

Z. Ben-Salah and M. Morales, "Levy systems and the time value of ruin for Markov additive processes". European Actuarial Journal 2 (2012), pp. 289-317.

F. Godin, S. Mayoral, and M. Morales, "Contingent claim pricing using a normal inverse Gaussian probability distortion operator ". Journal of Risk and Insurance 79 (2012), pp. 841-866.

S. C. K. Lee and X. S. Lin, "Modeling dependent risks with multivariate Erlang mixtures". ASTIN Bulletin 42 (2012), pp. 153-180.

X. Liu and X.S. Lin, "A subordinated Markov model for stochastic mortality". European Actuarial Journal 2 (2012), pp. 105-127

H. Ku, K. Lee, and H. Zhu, "Discrete time hedging with liquidity risk". Finance Research Letters 9 (2012), pp. 135-143

H. Huang, M.A. Milevsky, and T.S. Salisbury. "Optimal retirement consumption with a stochastic force of mortality". IME 51 (2012) pp. 282-291.

F. Marri and E. Furman, "Pricing compound Poisson processes with the Farlie-Gumbel-Morgenstern dependence structure", IME 51 (2012), pp. 151-157.

D. Jun and H. Ku, "Cross a barrier to reach barrier options", J. Mathematical Analysis and Applications 389 (2012), pp. 968-978

N. Charupt, H. Huang, M.A. Milevsky, Strategic Financial Planning Over The Lifecycle, Cambridge University Press, 2012.

S. Jaimungal and G. Sigloch, " Incorporating risk aversion and model misspecification into structural models of default ", Mathematical Finance 22 (2012), pp. 57-81

Z. Ben-Salah and R. Momeya, "The minimal entropy martingale measure (MEMM) for a Markov-modulated Levy model". Asia-Pacific Financial Markets 19 (2012), pp. 63-98.

K.S. Tan and C. Weng, "Enhancing insurer value using reinsurance and value at risk criterion", The Geneva Risk and Insurance Review, 37 (2012), pp. 109-140.

H. Huang and M.A. Milevsky, "Lifetime ruin minimization: should retirees hedge inflation or just worry about it?" Journal of Pension Economics and Finance, 10 (2011), pp. 363-387

Y. Chi and K.S. Tan, "Optimal reinsurance under VaR and CVaR risk measures: a simplified approach", ASTIN Bulletin 41 (2011), pp. 487-509.

R. Zhou, J.S.H. Li, and K.S. Tan, "Economic pricing of mortality-linked securities in the presence of population basis risk, The Geneva Papers 36 (2011), pp. 544-546.

J.-P. Fouque, S. Jaimungal, and M. Lorig, "Spectral decomposition of option prices in fast mean-reverting stochastic volatility models", SIAM J. Financial Mathematics 2 (2011), pp. 665-691.

S. Jaimungal and V. Surkov, "Levy-Based Cross-Commodity Models and Derivative Valuation", SIAM J. Financial Mathematics 2 (2011), pp. 464-487

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), pp. 45-58.

H. Ku, "Randomized stopping times and coherent multiperiod risk measures", Stochastics 83 (2011), pp. 223-231.

Y. Chi and X. S. Lin, "On the threshold dividend strategy for a generalized jump-diffusion risk model", Insurance: Mathematics and Economics 48 (2011), pp. 326-337.

G. E. Willmot and X. S. Lin, "Risk modelling with the mixed Erlang distribution", Applied Stochastic Models in Business and Industry 27 (2011), pp. 2-22.

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, pp. 628-643.

H. Huang, M.A. Milevsky, and 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.

Refereed Contributions - Submitted

H. Huang, M.A. Milevsky, and T.S. Salisbury, "Optimal initiation of a GLWB in a variable annuity: no arbitrage approach" . Submitted (2013).

R. Donnelly, S. Jaimungal, D. Rubisov, "Valuing GWBs with stochastic interest rates and volatility". Submitted (2012).

M. Cara, "Will jumps ruin your retirement? Comparing models when moments are matched". Submitted (2012)

Z. Men, D. McLeish, and A. Kolkiewicz, "Factor stochastic volatility with orthogonal loadings". Submitted (2011)

Z. Men, D. McLeish, and A. Kolkiewicz, "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage". Submitted (2011)

Z. Men, D. McLeish, and A. Kolkiewicz, "Stochastic volatility models: a slice sampler within Gibbs approach". Submitted (2011)

A. Cartea, S. Jaimungal and J. Ricci, "Buy low sell high: a high frequency trading perspective". Submitted (2011).

S. Jaimungal, "Irreversible investments and ambiguity aversion". Submitted (2011).

S. Jaimungal and Y. Lawryshyn. "Incorporating managerial information into real option valuation". Submitted (2011).

M. Cara, H. Huang and M.A. Milevsky. "Will jumps ruin your retirement? A moment matching perspective". Submitted (2011).

S. Jaimungal, A. Kreinin and A. Valov, "Randomized first passage times". 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).

Non-refereed contributions

Z. Ben Salah, "Some applications of Markov additive processes as models in insurance and financial mathematics". PhD Thesis, Universite de Montreal (2012).

R. Momeya, "Les processus additifs markoviens et leurs applications en finance mathematique". PhD Thesis, Universite de Montreal (2012).

D. Pham, "Densities of nested archimedean copulas". MSc Thesis, Universite de Montreal (2012).

D. Hackmann, "The optimal dividend problem for two families of meromorphic Levy processes". MA Thesis, York University (2011).

X. Zhang, "Volatility of portfolios incorporating mortality linked securities". FE Diploma Research Project, York University (2011).

X. Chen, "Portfolio selection under distribution uncertainty: a general norm-CVaR approach". MMath Research Paper, University of Waterloo (2011).

H. Assa, "On some aspects of coherent risk measures". PhD Thesis, Universite de Montreal (2011).

F. Godin, "Les produits derives des marches europeens du carbone". MSc Thesis, Universite de Montreal (2011).

S. Pannetier-Lebeuf, "Prediction de l'attrition en date de renouvellement en assurance automobile avec l'aide de processus gaussien". MSc Thesis, University de Montreal (2011).

J. Tsang Kwai Kew, "Asset allocation and efficient frontiers for mortality linked securities". FE Diploma Project, York University (2010).

E.K.H. Ng, "Kernel-based copula processes". PhD Thesis, University of Toronto (2010).

Y. Qiao "Pricing and hedging guaranteed lifetime withdrawal benefits", PhD Thesis, York University (2012).

G. Sigloch, "Utility Indifference Pricing of Credit Instruments". PhD Thesis, University of Toronto (2009).

A. Valov, "First Passage Times: Integral Equations, Randomization and Analytical Approximations". PhD Thesis, University of Toronto (2009).

Y. Wang. "Mathematical Finance Related to Insurance Contracts - Quantile Hedging and Efficient Hedging for Guaranteed Minimum Death Benefits". PhD Thesis, York University (2008).