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Actuarial Science, Risk Management and Insurance

2011 onwards

Shinichi Kamiya and George Zanjani, Egalitarian Equivalent Capital Allocation, The North American Actuarial Journal, Forthcoming, 2017.

Shinichi Kamiya and Andreas Milidonis, Actuarial Independence and Managerial Discretion, Journal of Risk and Insurance, Forthcoming, 2016.

Shinichi Kamiya, Credit Crunch and Insurance Consumption:  The Aftermath of the Subprime Mortgage Crisis, Journal of Risk and Insurance, Forthcoming, 2016.

Stephen G. Dimmock, R. Kouwenberg, O.S. Mitchell, and K. Peijnenburg, Estimating Ambiguity Preferences and Perceptions in Multiple Prior Models: Evidence from the Field. Journal of Risk and Uncertainty, Forthcoming, 2016.

Bowen Yang, Jackie Li, Uditha Balasooriya, Using Bootstrapping to Incorporate Model Error for Risk-Neutral Pricing of Longevity Risk, Insurance: Mathematics and Economics, Vol. 62, Pages 16-27, May 2015.

Chong It Tan, Jackie Li, Johnny Siu-Hang Li, Uditha Balasooriya, Optimal Relativities and Transition Rules of a Bonus–Malus System, Insurance: Mathematics and Economics, Volume 61, Pages 255-263, March 2015.

Chong It Tan, Jackie Li, Johnny Siu-Hang Li, Uditha Balasooriya, Parametric mortality indexes: From Index Construction to Hedging Strategies, Insurance: Mathematics and Economics, Vol. 59, Pages 285-299, November 2014.

Kogure Atsuyuki, Jackie Li, and Shinichi Kamiya, A Bayesian Multivariate Risk-Neutral Method for Pricing Reverse Mortgages, The North American Actuarial Journal, 18(1), 242-257, 2014.

Mark Browne and Shinichi Kamiya, A Theory of the Demand for Underwriting, Journal of Risk and Insurance, Vol. 79, Issue pp. 335-349, 2012.

2006 – 2010

Chen, Hua, Samuel H. Cox and Shaun Wang, Is the Home Equity Conversion Program in the United States Sustainable? Evidence from Pricing Mortgage Insurance Premiums and Non-Recourse Provisions Using the Conditional Esscher Transform, Insurance: Mathematics and Economics, 46(2): 371-384, 2010.

Klein, Robert W., and Shaun Wang, Catastrophe Risk Financing in the United States and the European Union: A Comparison of Alternative Regulatory Approaches, Journal of Risk and Insurance, Vol. 76, No. 3, 607-637, 2009.

Uditha Balasooriya and C.-K. Low, Modeling Insurance Claims with Extreme Observations:  Transformed Kernel Density and Generalized Lambda Distribution, The North American Actuarial Journal, 12(2), 129-142, 2008.

Wang, Shaun, Normalized Exponential Tilting: Pricing and Measuring Multivariate Risks, North American Actuarial Journal, Vol. 11, no.3, pp. 89-99, 2007.

Milidonis, Andreas, and Shaun Wang, Estimation of Distress Costs Associated with Downgrades Using Regime Switching Models, North American Actuarial Journal, Vol. 11, no.4, pp. 42-60, 2007.

Samuel H. Cox, Yijia Lin, and Shaun Wang, Multivariate Exponential Tilting And Pricing Implications For Mortality Securitization, Journal of Risk and Insurance, December 2006, Vol. 73 Issue 4, 719–736, 2006.

Abel Cadenillas, Tahir Choulli, Michael Taksar and Lei Zhang, Classical and Impulse Stochastic Control for the Optimization of the Dividend and Risk Policies of An Insurance Form, Mathematical Finance, Vol. 16, Issue 1, Pages: 181–202, January 2006.

1993 - 2005

Wang, Shaun, Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model, ASTIN Bulletin, 33: 57-73, May 2003.

Wang, Shaun, A Universal Framework for Pricing Financial and Insurance Risks, ASTIN Bulletin: 32: 213-234, November 2002.

Wang, Shaun, A Class of Distortion Operators for Pricing Financial and Insurance Risks.” Journal of Risk and Insurance, 67: 15-36, March 2000.

Wang, Shaun, An Actuarial Index of the Right-Tail Risk, North American Actuarial Journal, Vol. 2: 88-101, 1998.

Wang, Shaun, and Dhane, Jan, Comonotonicity, Correlation Order and Premium Principles, Insurance: Mathematics and Economics, 22 : 235-242, 1998.

Wang, Shaun, and Young, Virginia, Ordering of Risks: Expected Utility Theory versus Yaari’s Dual Theory of Risk, Insurance: Mathematics and Economics, 22 : 145-161, 1998.

Wang, Shaun, Young, Virginia, and Panjer, Harry, Axiomatic Characterization of Insurance Prices, Insurance: Mathematics and Economics, 21 : 173-183, 1997.

Gerchak, Yigal, and Wang, Shaun, Liquid Asset Allocation Using News Vendor Models with Convex Shortage Costs, Insurance: Mathematics and Economics, 20 : 17-21, 1997.

McNamara, Michael J; Pruitt, Stephen W; Van Ness, Robert A; Charoenwong, Charlie.  Property-Liability Insurance Company Market Pullout Announcements and Shareholder Wealth, Journal of Risk and Insurance, 64.3 : 441-463, September 1997.

Wang, Shaun, Premium Calculation by Transforming the Layer Premium Density, ASTIN Bulletin, 26 : 71-92, 1996.

Wang, Shaun, Ordering of Risks under PH Transforms, Insurance: Mathematics and Economics, 18 : 109-114, 1996.

Wang, Shaun, Insurance Pricing and Increased Limits Ratemaking by Proportional Hazards Transform, Insurance: Mathematics and Economics, 17 : 43-54, 1995.

Wang, Shaun, On Two-Sided Compound Binomial Distributions, Insurance: Mathematics and Economics, 17 : 35-41, 1995.

Panjer, Harry, and Wang, Shaun, Computational Aspects of Sundt’s Generalized Class, ASTIN Bulletin, 25 : 5-17, 1995.

Wang, Shaun, and Sobrero, Monica, Further Results on Hesselager’s Recursive Procedure for Calculation of Some Compound Distributions, ASTIN Bulletin, 24 : 161-166, 1994..

Wang, Shaun, and Panjer, Harry, Proportional Convergence and Tail-Cutting Techniques in Evaluating Aggregate Claim Distributions, Insurance: Mathematics and Economics, 14: 129-138, 1994.

Wang, Shaun, and Panjer, Harry, Critical Starting Points for Stable Evaluation of Mixed Poisson Probabilities, Insurance: Mathematics and Economics, 13 : 287-297, 1993.

Panjer, Harry, and Wang, Shaun, On the Stability of Recursive Formulas, ASTIN Bulletin, 23: 227-258, 1993.

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