Shuanming Li

Generalized expected discounted penalty function at general drawdown for Lévy risk processes

Wenyuan Wang, Ping Chen, Shuanming Li

Journal article  |  2020  |  Insurance: Mathematics and Economics

This paper considers an insurance surplus process modeled by a spectrally negative Lévy process. Instead of the time of ruin in th..

On the Type I multivariate zero-truncated hurdle model with applications in health insurance

P Zhang, E Calderin, S Li, X Wu

Journal article  |  2020  |  Insurance: Mathematics and Economics

In the general insurance modeling literature, there has been a lot of work based on univariate zero-truncated models, but little h..

Beta transform and discounted aggregate claims under dependency

Zhehao Zhang, Shuanming Li

Journal article  |  2019  |  Annals of Actuarial Science

This paper starts with the Beta transform and discusses the stochastic ordering properties of this transform under different param..

The expected discounted penalty function: from infinite time to finite time

S Li, Y Lu, KP Sendova

Journal article  |  2019  |  Scandinavian Actuarial Journal

In this paper we study the finite-time expected discounted penalty function (EDPF) and its decomposition in the classical risk mod..

On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment

Shuanming Li, Yi Lu

Journal article  |  2018  |  Risks

Distributional study of finite-time ruin related problems for the classical risk model

Shuanming Li, Yi Lu

Journal article  |  2017  |  Applied Mathematics and Computation

MARKOWITZ'S MEAN-VARIANCE OPTIMIZATION WITH INVESTMENT AND CONSTRAINED REINSURANCE

Nan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2017  |  Journal of Industrial and Management Optimization

On the occupation times in a delayed Sparre Andersen risk model with exponential claims

Can Jin, Shuanming Li, Xueyuan Wu

Journal article  |  2016  |  Insurance: Mathematics and Economics

Optimal reinsurance under dynamic VaR constraint

Nan Zhang, Zhuo Jin, Shuanming Li, Ping Chen

Journal article  |  2016  |  Insurance: Mathematics and Economics

Number of Jumps in Two-Sided First-Exit Problems for a Compound Poisson Process

Shuanming Li, Yi Lu, Can Jin

Journal article  |  2016  |  Methodology and Computing in Applied Probability

On the time and the number of claims when the surplus drops below a certain level

Shuanming Li, Yi Lu

Journal article  |  2016  |  Scandinavian Actuarial Journal

Analysis of some ruin-related quantities in a Markov-modulated risk model

J Li, DCM Dickson, S Li

Journal article  |  2016  |  Stochastic Models

In this paper, we study the joint Laplace transform and probability generating function of some random quantities that occur in ea..

Some ruin problems for the MAP risk model

Jingchao Li, David CM Dickson, Shuanming Li

Journal article  |  2015  |  Insurance: Mathematics and Economics

The finite time ruin probability in a risk model with capital injections

Ciyu Nie, David CM Dickson, Shuanming Li

Journal article  |  2015  |  Scandinavian Actuarial Journal

A reinsurance game between two insurance companies with nonlinear risk processes

Hui Meng, Shuanming Li, Zhuo Jin

Journal article  |  2015  |  Insurance: Mathematics and Economics

The density of the time of ruin in the classical risk model with a constant dividend barrier

Shuanming Li, Yi Lu

Journal article  |  2014  |  Annals of Actuarial Science

AbstractIn this paper, we investigate the density function of the time of ruin in the classical risk model with a constant dividen..

JOINT DISTRIBUTIONS OF SOME RUIN RELATED QUANTITIES IN THE COMPOUND BINOMIAL RISK MODEL

Shuanming Li, Fengjing Huang, Can Jin

Journal article  |  2013  |  Stochastic Models

The finite-time ruin probability under the compound binomial risk model

S Li, KP Sendova

Journal article  |  2013  |  European Actuarial Journal

The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model

David CM Dickson, Shuanming Li

Journal article  |  2013  |  Insurance: Mathematics & Economics

The maximum severity of ruin in a perturbed risk process with Markovian arrivals

Shuanming Li, Jiandong Ren

Journal article  |  2013  |  Statistics and Probability Letters

On the generalized Gerber-Shiu function for surplus processes with interest

Shuanming Li, Yi Lu

Journal article  |  2013  |  Insurance: Mathematics & Economics

On a discrete time risk model with time-delayed claims and a constant dividend barrier

X Wu, S Li

Journal article  |  2012  |  Insurance Markets and Companies: Analyses and Actuarial Computations

In this paper a compound binomial risk model with a constant dividend barrier is considered. Two types of individual claims, main ..

The finite time ruin probability in a risk model with capital injections

C NIE, DCM Dickson, S Li

Report  |  2012

Erlang risk models and finite time ruin problems

David CM Dickson, Shuanming Li

Journal article  |  2012  |  Scandinavian Actuarial Journal

The distributions of some quantities for Erlang(2) risk models

DCM Dickson, S Li

Report  |  2012

Minimizing the ruin probability through capital injections

Ciyu Nie, David CM Dickson, Shuanming Li

Journal article  |  2011  |  Annals of Actuarial Science

AbstractWe consider an insurer who has a fixed amount of funds allocated as the initial surplus for a risk portfolio, so that the ..

MATRIX-FORM RECURSIONS FOR A FAMILY OF COMPOUND DISTRIBUTIONS

Xueyuan Wu, Shuanming Li

Report  |  2010  |  ASTIN Bulletin

The perturbed compound Poisson risk model with two-sided jumps

Zhimin Zhang, Hu Yang, Shuanming Li

Journal article  |  2010  |  Journal of Computational and Applied Mathematics

Finite time ruin problems for the Erlang(2) risk model

David CM Dickson, Shuanming Li

Report  |  2010  |  Insurance: Mathematics and Economics

Matrix-Form Recursions for a Family of Compound Distributions

X WU, S LI

Journal article  |  2010  |  Astin Bulletin

On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy

Shuanming Li, Yi Lu

Report  |  2010  |  Scandinavian Actuarial Journal

Finite time ruin problems for the Erlang(2) risk model

D DICKSON, S LI

Journal article  |  2010  |  Insurance: Mathematics & Economics

On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy

S LI, undefined Lu

Journal article  |  2010  |  Scandinavian Actuarial Journal

The Gerber-Shiu discounted penalty functions for a risk model with two classes of claims

Zhimin Zhang, Shuanming Li, Hu Yang

Journal article  |  2009  |  Journal of Computational and Applied Mathematics

The distribution of total dividend payments in a Sparre Andersen model

Shuanming Li, Yi Lu

Report  |  2009  |  Statistics and Probability Letters

The Markovian regime-switching risk model with a threshold dividend strategy

Yi Lu, Shuanming Li

Report  |  2009  |  Insurance: Mathematics and Economics

A review of discrete-time risk models

Shuanming Li, Yi Lu, Jose Garrido

Journal article  |  2009  |  Real Academia de Ciencias Exactas, Fisicas y Naturales. Revista. Serie A, Matematicas

The Markovian regime-switching risk model with a threshold dividend strategy

Yi Lu, Shuanming Li

Journal article  |  2009  |  Insurance: Mathematics & Economics

In this paper, we study a regime-switching risk model with a threshold dividend strategy, in which the rate for the Poisson claim ..

On the discounted penalty function in a discrete time renewal risk model with general interclaim times

Xueyuan Wu, Shuanming Li

Journal article  |  2009  |  Scandinavian Actuarial Journal

The distribution of total dividend payments in a Sparre Andersen model.

S LI, undefined Lu

Journal article  |  2009  |  Statistics and Probability Letters

The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model

S Li

Journal article  |  2008  |  North American Actuarial Journal

“On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals,” Jiandong Ren, April 2008

S Li

Journal article  |  2008  |  North American Actuarial Journal

The discounted joint distribution of the surplus prior to ruin and the deficit at ruin in a sparre andersen model,’ Jiandong Ren, July 2007

S Li

Journal article  |  2008  |  North American Actuarial Journal

The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model

Shuanming Li, Yi Lu

Report  |  2008  |  Astin Bulletin: The Journal of the ASTIN and AFIR Sections of the International Actuarial Association

The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model,” Jiandong Ren, July 2007

S Li

Journal article  |  2008  |  North American Actuarial Journal

Discussion of the 'Discounted Joint Distribution of the Surplus before Ruin and the Deficit at Ruin in a Sparre Andersen Model'

S LI

Journal article  |  2008  |  North American Actuarial Journal

The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model

S LI

Report  |  2008

A Note on the Maximum Severity of Ruin in Erlang(n) Risk Procss

S LI

Journal article  |  2008  |  Bulletin of the Swiss Association of Actuaries

The Decompositions of the Discounted Penalty Function and Dividends-Penalty Indentity in a Markov-Modulated Risk Model

S LI, Y Lu

Journal article  |  2008  |  Astin Bulletin

On a discrete-time Sparre Anderson model with phase-type claims

X WU, S LI

Report  |  2008

Discussion of the `On the Laplace Transform of the Aggregate Discounted Claims with Markovian Arrivals'

S LI

Journal article  |  2008  |  North American Actuarial Journal

The Moments of the Present Value of Total Dividends under Stochastic Interest Rates

S LI

Journal article  |  2008  |  Australian Actuarial Journal

Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model

S Li, Y Lu

Journal article  |  2007  |  North American Actuarial Journal

The moments of the present value of total dividends under stochastic interest rates

S LI

Report  |  2007

On the Discounted Penalty Function in a Discrete Time Renewal Risk Model with General Interclaim Times

X WU, S LI

Report  |  2007

Some optimal dividend problems in a Markov-modulated risk model.

Shuanming Li, Yi Lu

Report  |  2006  |  Insurance: Mathematics and Economics

On a discrete-time risk model with delayed claims and a constant dividend barrier.

Xueyuan Wu, Shuanming Li

Conference Proceedings  |  2006  |  INSURANCE MATHEMATICS & ECONOMICS

The expected discounted penalty functions for a Markov-modulated risk model.

Yi Lu, Shuanming Li

Conference Proceedings  |  2006  |  INSURANCE MATHEMATICS & ECONOMICS

The maximum surplus before ruin in an Erlang(n) risk process and related problems

Shuanming Li, David CM Dickson

Report  |  2006  |  Insurance: Mathematics and Economics

The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion

S Li

Report  |  2006  |  Scandinavian Actuarial Journal

The distribution of the dividend payments in the compound poisson risk model perturbed by diffusion

Shuanming Li

Journal article  |  2006  |  Scandinavian Actuarial Journal

The maximum surplus before ruin in an Erlang(n) risk process and related problems

S LI, D DICKSON

Journal article  |  2006  |  Insurance: Mathematics & Economics

The diffusion perturbed compound Poisson risk model with a dividend barrier

S LI, B Wu

Report  |  2006

On a discrete time risk model with delayed claims and a constant dividend barrier

X WU, S LI

Report  |  2006

On the probability of ruin in a Markov-modulated risk model

Y Lu, SM Li

Journal article  |  2005  |  Insurance: Mathematics & Economics

On a general class of renewal risk process: Analysis of the Gerber-Shiu function

SM Li, J Garrido

Journal article  |  2005  |  Advances in Applied Probability

On a class of discrete time renewal risk models

S Li

Journal article  |  2005  |  Scandinavian Actuarial Journal

Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models

S Li

Journal article  |  2005  |  Scandinavian Actuarial Journal

Ruin probabilities for two classes of risk processes

Shuanming Li, Jose Garrido

Journal article  |  2005  |  Astin Bulletin

The gerber–shiu function in a sparre andersen risk process perturbed by diffusion

S Li, J Garrido

Journal article  |  2005  |  Scandinavian Actuarial Journal

On the expected discounted penalty functions for two classes of risk processes

SM Li, Y Lu

Journal article  |  2005  |  Insurance: Mathematics & Economics

“Authors’ Reply: The Time Value of Ruin in a Sparre Andersen Model,” Hans U. Gerber and Elias S. W. Shiu, July 2005

H Schmidli, H Albrecher, CCL Tsai, S Li

Journal article  |  2005  |  North American Actuarial Journal

“The Time Value of Ruin in a Sparre Andersen Model,” Hans U. Gerber and Elias S. W. Shiu, July 2005

S Li

Journal article  |  2005  |  North American Actuarial Journal

Discussion of the time value of ruin in a Sparre Andersen model

S LI

Journal article  |  2005  |  North American Actuarial Journal

Ruin Probabilities for Two Classes of Risk Processes

S li, J Garrido

Journal article  |  2005  |  ASTIN Bulletin

We consider a risk model with two independent classes of insurance risks. We assume that the two independent claim counting proces..

On a class of renewal risk models with a constant dividend barrier

SM Li, J Garrido

Journal article  |  2004  |  Insurance: Mathematics & Economics

On ruin for the Erlang(n) risk process

SM Li, J Garrido

Journal article  |  2004  |  Insurance: Mathematics & Economics

On ruin for Erlang(n) risk process.

SM Li, J Garrido

Conference Proceedings  |  2003  |  INSURANCE MATHEMATICS & ECONOMICS

“Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process,” Yebin Cheng and Qihe Tang, January 2003

S Li

Journal article  |  2003  |  North American Actuarial Journal

Discussion of Moments of the surplus before and the deficit at ruin

S LI

Journal article  |  2003  |  North American Actuarial Journal