# Publications

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).
*

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