Publications:  

Wang, S. and Lu, Y. (2019). Optimal investment strategies and risk-sharing arrangements for a hybrid pension plan. Insurance Mathematics and Economics , accepted.

Li, S., Lu, Y. and Sendova, K.P. (2019). The expected discounted penalty function: from infinite time to finite time. Scandinavian Actuarial Journal, 2019(4), 336-354.

Li, S. and Lu, Y. (2018). On the moments and the distribution of aggregate discounted claims in a Markovian environment. Risks, 6(2), 59 (16 pages).

Wang, S., Lu, Y. and Sanders, B. (2018). Optimal investment strategies and intergenerational risk sharing for target benefit pension plans. Insurance Mathematics and Economics , 80, 1-14.

Liang, X. and Lu, Y. (2017). Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process. Insurance Mathematics and Economics , 77, 119-132.

Li, S. and Lu, Y. (2017). Distributional study of finite-time ruin related problems for the classical risk model. Applied Mathematics and Computation , 315, 319-330.

Chen, L., Lin, L., Lu, Y. and Parker, G. (2017). Analysis of survivorship life insurance portfolios with stochastic rates of return. Insurance: Mathematics and Economics , 75, 16-31.

Mak, S., Bingham, D. and Lu, Y. (2016). A regional compound Poisson process for hurricane and tropical storm damage. Journal of the Royal Statistical Society, 65(5), 677-703.

Liang, X., Tsai, C. and Lu, Y. (2016). Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality. Insurance: Mathematics and Economics, 70, 150-161.

Li, S. and Lu, Y. (2016). On the time and the number of claims when the surplus drops below a certain level. Scandinavian Actuarial Journal, 5, 420-445.

Li, S., Lu, Y. and Jin, C. (2016). Number of jumps in two-sided first-exit problems for a compound Poisson process. Methodology and Computing in Applied Probability, 18(3), 747-764.

Lu, Y. (2016). On the evaluation of expected penalties at claim instants that cause ruin in the classical risk model. Methodology and Computing in Applied Probability, 18(1), 237-255.

Poon, J. and Lu, Y. (2015). A spatial cross-sectional credibility model with dependence among risks. North American Actuarial Journal, 19(4), 289-310.

Li, S. and Lu, Y. (2014). The density of the time of ruin in the classical risk model with a constant dividend barrier. Annals of Actuarial Science, 8(1), 63-78.

Li, S. and Lu, Y. (2013). On the generalized Gerber-Shiu function for surplus processes with interest. Insurance: Mathematics and Economics, 52(2), 127-134.

Lu, Y. and Zeng, L. (2012). A nonhomogeneous Poisson hidden Markov model for claim counts. ASTIN Bulletin, 42(1), 181-202. 

Lu, Y. (2010). Discussion of Albrecher, H., Gerber. H.U. and Yang. H. "A direct approach to the discounted penalty function". North American Actuarial Journal, 14(4), 438-441.  

Tsai, C.C.L. and Lu, Y. (2010). An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion. Scandinavian Actuarial Journal, 3, 200-220.

Li, S. and Lu, Y. (2010). On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy. Scandinavian Actuarial Journal, (2), 136-147.

Li, S. Lu, Y. and Garrido, J. (2009). A review of discrete-time risk models. RACSAM, Rev. R. Acad. Cien. Serie A. Mat. Vol. 103(2), 321-337.  

Li, S. and Lu, Y. (2009). The distribution of total dividend payments in a Sparre Andersen Model. Statistics and Probability Letters, 79(9), 1246-1251.  

Lu, Y. and Li, S. (2009). The Markovian regime-switching risk model with a threshold dividend strategy. Insurance: Mathematics and Economics, 44(2), 296-303.

Li, S. and Lu, Y. (2008). The decompositions of the discounted penalty functions and dividends-penalty identity in a Markov-modulated risk model. ASTIN Bulletin, 38(1), 53-71. 

Lu, Y. and Tsai, C.C.L. (2007).  The expected discounted penalty at ruin for a Markov-modulated risk process perturbed by diffusion. North American Actuarial Journal, 11(2), 136-152. 

Li, S. and Lu, Y. (2007). Moments of the dividend payments and related problems in a Markov-modulated risk model. North American Actuarial Journal, 11(2), 65-76.  

Lu, Y. and Garrido, J. (2006). Regime-switching periodic non-homogeneous Poisson processes. North American Actuarial Journal, 10(4), 235-248. 

Lu, Y. (2006). On the severity of ruin in a Markov-modulated risk model. Scandinavian Actuarial Journal, 183-202. 

Lu, Y. and Garrido, J. (2005). Doubly periodic non-homogeneous Poisson models for hurricanes data. Statistical Methodology, 2(1), 17-35.   

Lu, Y. and Li, S. (2005). On the probability of ruin in a Markov-modulated risk model. Insurance: Mathematics and Economics, 37, 522-532.

Li, S. and Lu, Y. (2005). On the expected discounted penalty functions for two classes of risk process. Insurance: Mathematics and Economics, 36, 179-193.

Lu, Y. (2005). On periodic and Markovian non-homogeneous Poisson processes and their application in risk theory. Ph.D. Thesis, Concordia University.

Garrido, J. and Lu, Y. (2004). On double periodic non-homogeneous Poisson processes. Bulletin of the Association of Swiss Actuaries, (2), 195-212.