University of Calgary

Publications - 2022


 

A general option pricing framework for affine fractionally integrated models

Augustyniak, Maciej, Badescu, Alexandru, Bégin, Jean-François and Jayaraman, Sarath Kumar
 

A Marginal Indemnity Function Approach to Optimal Reinsurance under the Vajda Condition

Boonen, Tim and Jiang, Wenjun
 

Bilateral risk sharing in a comonotone market with rank-dependent utilities

Tim, Boonen and Jiang, Wenjun
 

Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton–Jacobi equations

Qiu, Jinniao
 

Evaluating the tail risks of multivariate aggregate losses

Jiang, Wenjun and Ren, Jiandong
 

Mean-variance insurance design with counterparty risk and incentive compatibility

Boonen, Tim and Jiang, Wenjun
 

Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone

Qiu, Jinniao, Elliott, Robert and Wei, Wenning
 

On k-diametral point configurations in Minkowski spaces

Bezdek, Karoly and Langi, Zsolt
 

On Non-negative Equity Guarantee Calculations with Macroeconomic Variables Related to House Prices

Badescu, Alexandru, Quaye, Enoch and Tunaru, Radu
 

On the intrinsic volumes of intersections of congruent balls

Bezdek, Karoly
 

On the mean‐field limit for the consensus‐based optimization

Qiu, Jinniao and Huang, Hui
 

Optimal insurance for a prudent decision maker under heterogeneous beliefs

Mario, Ghossoub, Jiang, Wenjun and Ren, Jiandong
 

Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility

Jiang, Wenjun
 

Pareto-optimal reinsurance under individual risk constraints

Mario, Ghossoub, Jiang, Wenjun and Ren, Jiandong
 

Penalized Variable Selection with Broken Adaptive Ridge Regression for Semi-competing Risks Data

Mahmoudi, Fatemeh and Xuewen Lu
 

Pricing options under rough volatility with backward SPDEs

Qiu, Jinniao, Bayer, Christian and Yao, Yao
 

Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation

Liang, Zhihang, Zou, Jushen and Jiang, Wenjun
 

Robust and efficient estimation for nonlinear model based on composite quantile regression with missing covariates

Zhao, Qiang, Zhang, Chao, Wu, Jingjing and Wang, Xiuli
 

Robust and efficient estimation of GARCH models based on Hellinger distance

Zhao, Qiang, Chen, Liang and Wu, Jingjing
 

Zero-inertia limit: from particle swarm optimization to consensus-based optimization

Qiu, Jinniao, Cipriani, Cristina and Huang, Hui
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