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Runhuan Feng
Runhuan Feng
Tsinghua University; University of Illinois at Urbana-Champaign
Verified email at sem.tsinghua.edu.cn
Title
Cited by
Cited by
Year
On the expectation of total discounted operating costs up to default and its applications
J Cai, R Feng, GE Willmot
Advances in Applied Probability 41 (2), 495-522, 2009
672009
Peer-to-peer multi-risk insurance and mutual aid
S Abdikerimova, R Feng
European Journal of Operational Research 299 (2), 735-749, 2022
582022
Analytical calculation of risk measures for variable annuity guarantee benefits
R Feng, HW Volkmer
Insurance: Mathematics and Economics, 2012
562012
Actuarial Applications of Epidemiological Models
R Feng, J Garrido
North American Actuarial Journal 15 (1), 112-136, 2008
562008
Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
Z Cui, R Feng, A MacKay
North American Actuarial Journal 21 (3), 458-483, 2017
392017
Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
R Feng, X Jing
Insurance: Mathematics and Economics 72, 36-48, 2017
382017
Pandemic risk management: resources contingency planning and allocation
X Chen, WF Chong, R Feng, L Zhang
Insurance: Mathematics and Economics 101, 359-383, 2021
322021
A unified analysis of claim costs up to ruin in a Markovian arrival risk model
ECK Cheung, R Feng
Insurance: Mathematics and Economics 53 (1), 98-109, 2013
322013
The compound Poisson surplus model with interest and liquid reserves: analysis of the Gerber–Shiu discounted penalty function
J Cai, R Feng, GE Willmot
Methodology and Computing in Applied Probability 11, 401-423, 2009
312009
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
R Feng, HW Volkmer
ASTIN Bulletin: The Journal of the IAA 44 (3), 653-681, 2014
302014
A comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method
R Feng
North American Actuarial Journal 18 (4), 445-461, 2014
292014
An introduction to computational risk management of equity-linked insurance
R Feng
CRC press, 2018
282018
Potential measures for spectrally negative Markov additive processes with applications in ruin theory
R Feng, Y Shimizu
Insurance: Mathematics and Economics 59, 11-26, 2014
252014
On a generalization from ruin to default in a Lévy insurance risk model
R Feng, Y Shimizu
Methodology and Computing in Applied Probability, 2012
242012
On the total operating costs up to default in a renewal risk model
R Feng
Insurance: Mathematics and Economics 45 (2), 305-314, 2009
242009
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
R Feng, HW Volkmer
Mathematics and Financial Economics 10, 127-149, 2016
232016
A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model
R Feng
Schweizerische Aktuarvereinigung Mitteilungen 19 (1), 71, 2009
232009
Applications of central limit theorems for equity-linked insurance
R Feng, Y Shimizu
Insurance: Mathematics and Economics 69, 138-148, 2016
222016
A unified theory of decentralized insurance
R Feng, M Liu, N Zhang
Available at SSRN 4013729, 2022
212022
Nested stochastic modeling for insurance companies
R Feng, Z Cui, P Li
Society of Actuaries, 2016
212016
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