**
**

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

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