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1

The Compound Poisson Surplus Model with Interest and Liquid Reserves: Analysis of the Gerber–Shiu Discounted Penalty Function

Jun Cai, Runhuan Feng, Gordon E. Willmot

Journal:

Methodology and Computing in Applied Probability

Year:

2009

Language:

english

File:

PDF, 440 KB

english, 2009

2

Analysis of the Compound Poisson Surplus Model with Liquid Reserves, Interest and Dividends

CAI, Jun, FENG, Runhuan, WILLMOT, Gordon E.

Journal:

Year:

2009

Language:

english

File:

PDF, 597 KB

english, 2009

3

On the expectation of total discounted operating costs up to default and its applications

Cai, Jun, Feng, Runhuan, Willmot, Gordon E.

Journal:

Advances in Applied Probability

Year:

2009

File:

PDF, 235 KB

2009

4

Analytical calculation of risk measures for variable annuity guaranteed benefits

Runhuan Feng, Hans W. Volkmer

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 315 KB

english, 2012

5

On a Generalization from Ruin to Default in a Lévy Insurance Risk Model

Runhuan Feng, Yasutaka Shimizu

Journal:

Methodology and Computing in Applied Probability

Year:

2013

Language:

english

File:

PDF, 547 KB

english, 2013

6

Actuarial Applications of Epidemiological Models

Feng, Runhuan, Garrido, Jose

Journal:

North American Actuarial Journal

Year:

2011

Language:

english

File:

PDF, 700 KB

english, 2011

7

Optimal dividend policies for piecewise-deterministic compound Poisson risk models

Feng, Runhuan, Volkmer, Hans W., Zhang, Shuaiqi, Zhu, Chao

Journal:

Scandinavian Actuarial Journal

Year:

2015

Language:

english

File:

PDF, 371 KB

english, 2015

8

On the expectation of total discounted operating costs up to default and its applications

Cai, Jun, Feng, Runhuan, Willmot, Gordon E.

Journal:

Advances in Applied Probability

Year:

2009

Language:

english

File:

PDF, 224 KB

english, 2009

9

CONDITIONAL ASIAN OPTIONS

FENG, RUNHUAN, VOLKMER, HANS W.

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 348 KB

english, 2015

10

Risk based capital for guaranteed minimum withdrawal benefit

Feng, Runhuan, Vecer, Jan

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 352 KB

english, 2016

11

Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times

Cheung, Eric C.K., Feng, Runhuan

Journal:

Scandinavian Actuarial Journal

Year:

2018

Language:

english

File:

PDF, 2.47 MB

english, 2018

12

Geometric Brownian motion with affine drift and its time-integral

Feng, Runhuan, Jiang, Pingping, Volkmer, Hans

Journal:

Applied Mathematics and Computation

Year:

2021

File:

PDF, 656 KB

2021

13

An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models

Journal:

Insurance: Mathematics and Economics

Year:

2011

Language:

english

File:

PDF, 294 KB

english, 2011

14

On the total operating costs up to default in a renewal risk model

Journal:

Insurance: Mathematics and Economics

Year:

2009

Language:

english

File:

PDF, 1.59 MB

english, 2009

15

Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach

Runhuan Feng, Hans W. Volkmer

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 353 KB

english, 2012

16

A unified analysis of claim costs up to ruin in a Markovian arrival risk model

Cheung, Eric C.K., Feng, Runhuan

Journal:

Insurance: Mathematics and Economics

Year:

2013

Language:

english

File:

PDF, 498 KB

english, 2013

17

ON THE EXPECTATION OF TOTAL DISCOUNTED OPERATING COSTS UP TO DEFAULT AND ITS APPLICATIONS

JUN CAI, RUNHUAN FENG and GORDON E. WILLMOT

Journal:

Advances in Applied Probability

Year:

2009

Language:

english

File:

PDF, 1.65 MB

english, 2009

18

Potential measures for spectrally negative Markov additive processes with applications in ruin theory

Feng, Runhuan, Shimizu, Yasutaka

Journal:

Insurance: Mathematics and Economics

Year:

2014

Language:

english

File:

PDF, 517 KB

english, 2014

19

[IEEE 2012 IEEE 51st Annual Conference on Decision and Control (CDC) - Maui, HI, USA (2012.12.10-2012.12.13)] 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) - Optimal dividend payment problems in piecewise-deterministic compound Poisson risk models

Feng, Runhuan, Zhang, Shuaiqi, Zhu, Chao

Year:

2012

Language:

english

File:

PDF, 172 KB

english, 2012

20

A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method

Journal:

North American Actuarial Journal

Year:

2014

Language:

english

File:

PDF, 202 KB

english, 2014

21

SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS

Feng, Runhuan, Volkmer, Hans W.

Journal:

Year:

2014

Language:

english

File:

PDF, 432 KB

english, 2014

22

Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation

Feng, Runhuan, Huang, Huaxiong

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 482 KB

english, 2016

23

Stochastic Integral Representations of the Extrema of Time-homogeneous Diffusion Processes

Journal:

Methodology and Computing in Applied Probability

Year:

2016

Language:

english

File:

PDF, 1006 KB

english, 2016

24

An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit

Feng, Runhuan, Volkmer, Hans W.

Journal:

Mathematics and Financial Economics

Year:

2016

Language:

english

File:

PDF, 614 KB

english, 2016

25

A short proof of duality relations for hypergeometric functions

Feng, Runhuan, Kuznetsov, Alexey, Yang, Fenghao

Journal:

Journal of Mathematical Analysis and Applications

Year:

2016

Language:

english

File:

PDF, 445 KB

english, 2016

26

Applications of central limit theorems for equity-linked insurance

Feng, Runhuan, Shimizu, Yasutaka

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 438 KB

english, 2016

27

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan, Jing, Xiaochen, Dhaene, Jan

Journal:

Journal of Computational and Applied Mathematics

Year:

2016

Language:

english

File:

PDF, 493 KB

english, 2016

28

Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits

Feng, Runhuan, Jing, Xiaochen

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 702 KB

english, 2016

29

Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

Cui, Zhenyu, Feng, Runhuan, MacKay, Anne

Journal:

North American Actuarial Journal

Year:

2017

Language:

english

File:

PDF, 710 KB

english, 2017

30

Exponential functionals of Lévy processes and variable annuity guaranteed benefits

Feng, Runhuan, Kuznetsov, Alexey, Yang, Fenghao

Journal:

Stochastic Processes and their Applications

Year:

2018

Language:

english

File:

PDF, 418 KB

english, 2018

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