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

Feng, Runhuan - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 304-313

Persistent link: https://www.econbiz.de/10008989314

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

Feng, Runhuan - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 305-314

Persistent link: https://www.econbiz.de/10009517563

An introduction to computational risk management of equity-linked insurance

Feng, Runhuan - 2018

Persistent link: https://www.econbiz.de/10011843606

Coping with longevity via hedging : fair dynamic valuation of variable annuities

Chen, Ze; Feng, Runhuan; Li, Hong; Yang, Tianyu - In: Insurance : mathematics and economics 117 (2024), pp. 154-169

Persistent link: https://www.econbiz.de/10015066964

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

Cheung, Eric C. K.; Feng, Runhuan - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 98-109

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

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782