2017
 Dang, O., M. Feng and M.R. H (2017) “Efficient Nested Simulation for Conditional Tail Expectation of Variable Annuities”
 Liu, Y. and Li, J.S.H. (2017). A Strategy for Hedging Risks Associated with Period and Cohort Effects Using qForwards. To appear in Insurance: Mathematics and Economics
 Li, H. and Li, J.S.H. (2017). Optimizing the Sample Period for Stochastic Mortality Models in the Presence of Varying Paces and AgePatterns of Mortality Decline, Demography, 54(3), 10731095.
 Zhang, S. and Li, J.S.H. (2017). Longevity RiskSharing Annuities: Partial Indexation in Mortality Experience. AsiaPacific Journal of Risk and Insurance 11:130.
 Boyle, P. , J.S.H Li, and Y. Mei (2017) “Improving Risk Sharing and Borrower Incentives in Mortgage Design”, working paper
 Tan, K.S., P. Wei, W. Wei and S. Zhuang. (2017) "Optimal dynamic reinsurance policies under MeanCVaR  a generalized Denneberg's absolute deviation principle"
 Cui, H., K.S. Tan, F. Yang and C. Zhou (2017) "Asymptotic Analysis of Portfolio Diversification."
 Liu, K., and K.S. Tan (2017) "Realtime Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach."
 Boonen, T., K.S. Tan and S. Zhuang. (2017) "Competition for optimal reinsurance contracts with multiple reinsurers."
 Guo, D., Phelim B., Weng, C., Wirjanto, T.S. (2017). When Does The 1/N Rule Work? Available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3111531
 Guo, D., Phelim B., Weng, C., Wirjanto, T.S. (2017). Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization. Available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3070416
 Guo, D., Weng, C., Wirjanto, T.S. (2017). Improved global minimum variance portfolio via tail eigenvalues amplification. Available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2959808
 Shen, Z., Weng, C. (2017). Pricing bounds and bangbang analysis of the Polaris variable annuities. Available on SSRN: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3056794
 Shen, Z., Liu, Y., Weng, C. (2017). "Nonparametric Inference for VaR, CTE and Expectile with highorder precision."
 Zhang, J., Tan, K.S., Weng, C. (2017). "Optimal index insurance design."
 Lin, H., Saunders, D., Weng, C. (2017). "Portfolio optimization with performance ratios," submitted
 Xue, X., Wei, P., Weng, C. (2017). "Derivatives trading for insurers."
 Hardy, M., Saunders, D., and Zhu, X. (2017), "Valuation of a Bermudan DB Underpin Hybrid Pension Benefit," to appear in Scandinavian Actuarial Journal.
 Saunders, D., Tsui, L.K., and Iyengar, S. "Lower Tail Independence of Hitting Times of TwoDimensional Diffusions", to appear in Probability in the Engineering and Informational Sciences.
 Bhaduri, R., Djerroud, B., Meng, F., Saunders, D., Seco, L., and Shakourifar, M. "FixedIncome Returns from Hedge Funds with Negative Fee Structures: Valuation and Risk Analysis", to appear in Innovations in Insurance, Risk, and Asset Management
 Meng, F., Saunders, D., and Seco, L. (2017) "The Myth of Hedge Fund Fee Diversification."
 Wirjanto, T. S. and A. Zhu, (2017). Implied Volatility Surfaces During the Period of Global Financial Crisis. To appear in International Journal of Financial Engineering.
 Chen, L., A. W. Kolkiewicz and T. S. Wirjanto (2017). The Scaling Property of GARCH Models and Its Use for Capturing Volatility Dependence at Different Time Scales.
 Chan, P. L.(Danny) Chan and T. S. Wirjanto (2017). Pricing Asian Options with Matching by Moments.
 Ng, W. M. and T. S. Wirjanto (2017). Bias in the Estimate of a MeanReversion Parameter for a Fractional OrnsteinUhlenbeck Process.
 Qiutong Wang and Tony S. Wirjanto (2017). Social Networks, Asset Allocation, and Portfolio Diversification.
 Y. H. (Michael) Cheng and T. S. Wirjanto (2017). Pricing Interest Rate Derivatives with GramCharlier Expansions.
 Sun, M, F. Tao and T. S. Wirjanto (2017). Discretetime Portfolio Optimization with Transaction Costs for CRRA Investors..
 Sun, H., Weng, C., Zhang, Y. (2017).”Optimal multivariate quotashare reinsurance: A nonparametric meanCVaR framework," Insurance: Mathematics and Economics. 72:197214.
2016
 Kim, J.H.T. and Li, J.S.H. (2016). RiskNeutral Valuation of the NonRecourse Protection in Reverse Mortgages: A Case Study for South Korea. Emerging Markets Review, conditionally accepted.
 Zhu, W., K.S. Tan and C. Wang “Modeling Multicountry Longevity Risk with Mortality Dependence: A Leevy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach," to appear in Journal of Risk and Insurance.
 Zhang, J., Tan, K.S., Weng, C. (2016). "Optimal hedging with basis risk under meanvariance criterion," working paper
 Wu, H., Weng, C., Zeng, Y. "Timeconsistent consumption and portfolio decisions with stochastic discount rate and varying utility functions," working paper
 Diao, L.,Weng, C. (2016). "Regression tree credibility model," working paper
 Chi, Y., X.S. Lin, and K.S. Tan (2016) “Optimal Reinsurance Under the RiskAdjusted Value of an Insurer's Liability and an Economic Reinsurance Premium Principle", working paper
 Hardy, M., Saunders, D., and Zhang, S. (2016) “Updating Wilkie's Economic Scenario Generator for U.S. Applications," working paper.
 Men, Z., D. Mcleish, A.W. Kolkiewicz, and T.S. Wirjanto (2016) “Comparison of asymmetric stochastic volatility models under different correlation structures" Journal Of Applied Statistics Published online: 05 Jul 2016.
 Men, Z., T.S. Wirjanto and A.W. Kolkiewicz, and (2016) “Samplingbased Inference of Time Deformation Models with Heavy Tail Distributions”, Communications in Statistics  Simulation and Computation, 45: 3128–3148.
 Liu, Y. and Li, J.S.H. (2016). “Its all in the Hidden States: A Hedging Method with an Explicit Measure of Population Basis Risk." Insurance: Mathematics and Economics. 70:301319
 Memartoluie, A., Saunders, D., and Wirjanto, T. (2016) “WrongWay Risk Bounds in Counterparty Credit Risk Management", updated working paper
 Hofert, M., Memartoluie, A., Saunders, D., and Wirjanto, T. (2016) “Improved Algorithms for Computing Worst ValueatRisk: Numerical Challenges and the Adaptive Rearrangement Algorithm", working paper
 Zhou, K.Q. and Li, J.S.H. (2016). “Dynamic Longevity Hedging in the Presence of Population Basis Risk: A Feasibility Analysis from Technical and Economic Perspectives." Journal of Risk and Insurance. DOI:10.1111/jori.12158
 Boonen, T., K.S. Tan and S. Zhuang. (2016) “The role of a representative reinsurer in optimal reinsurance", Insurance: Mathematics and Economics. 70:196{204.
 Boyle Phelim P., Shui Feng, David Melkuev, Shuai Yang and Johnew Zhang (2016). “Short Positions and Principal Component Portfolios”, working paper
 Zhao, H.,Weng, C., Shen, Y., Zeng, Y., (2016). "Timeconsistent investmentreinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models." Science China Mathematics. Doi:10.1007/s1142501505427
 Zhuang, S.C., T.J. Boonen, K.S. Tan and Z.Q. Xu. (2016) “Optimal insurance in the presence of reinsurance," Scandinavian Actuarial Journal, DOI: 10.1080/03461238.2016.1184710. Published online on 26 May 2016.
 Tan, C.I., Li, J, Li, J.S.H. and Balasooriya, U. (2016) “Stochastic Modelling of the Hybrid Survival Curve." Journal of Population Research 33(4):307331
 Chen, X., and Saunders, D., and Chadam, J., 2015, “Analysis of an Optimal Stopping Problem Arising in Hedge Fund Investing", working paper.
 Wirjanto, T.S., A.W. Kolkiewicz, and Z. Men (2016) “Bayesian Analysis of a Threshold Stochastic Volatility Model" Journal of Forecasting, 35:462476.
 Zhu, W., C.Wang, and K.S. Tan. (2016) “Levy Subordinated Hierarchical Archimedean Copula: Theory and Application," Journal of Banking and Finance. 69:2036.
 Wang Z. and J.S.H. Li (2016) “A DCCGARCH multipopulation mortality model and its applications to pricing catastrophic mortality bonds”, Finance Research Letters 16:103111.
 Bernard, Carole, Phelim P. Boyle and Jit Seng Chen (2016). "Power Options in Executive Compensation," Journal of Derivatives, 23(3), 920.
 Liu, Y. and Li, J.S.H. (2016). “The LocallyLinear CairnsBlakeDowd Model: A Note on DeltaNuga Hedging of Longevity Risk." to appear in ASTIN Bulletin.
 Zhuang, S., Weng, C., Tan, K.S., Assa, H., (2016) “Marginal indemnification function formulation for optimal reinsurance." Insurance: Mathematics and Economics, 67:6576.
 Zhu, X., Hardy, M., and Saunders, D., 2016, "Liability Driven Dynamic Hedging Strategies for Cash Balance Pension Plans", working paper
 Lin, H., Saunders, D., and Weng, C. (2016) “Optimal Investment Strategy for Participating Insurance Contracts", working paper
 Zhu, X., Hardy, M., and Saunders, D. (2016) “Liability Driven Dynamic Hedging Strategies for Cash Balance Pension Plans", working paper
 Rosen, D., and Saunders, D. (2016) “Regress under Stress: A Simple LeastSquares Method for Integrating Economic Scenarios with Risk Simulations", Journal of Risk Management in Financial Institutions, 9(4), 121.
 Djerroud, B., Saunders, D., Seco, L., and Shakourifar, M. (2016) “Pricing SharedLoss Hedge Fund Fee Structures", 19 pages, forthcoming in Challenges in Derivatives Markets, edited by L. Seco and R. Zagst.
 Chen, X., and Saunders, D., and Chadam, J. (2016) “Analysis of an Optimal Stopping Problem Arising in Hedge Fund Investing", working paper
 MacKay, A., Boyle, P., Hardy, M., and Saunders, D. (2016) “Variable Payout Annuities: How Optimal are Optimal Solutions?", working paper
2015

Li, J.S.H., A.C.Y. Ng, W.S. Chan (2015) “Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression, International Review of Economics and Finance, 40:217230

Chan, W.S., Li, J.S.H., Zhou, K.Q. and Zhou, R. (2015). “Towards a Large and Liquid Longevity Market: A Graphical Population Basis Risk Metric.”Geneva Paper of Risk and Insurance: Issues and Practice.doi:10.1057/gpp.2015.9

T. J. Boonen, K. S. Tan, S. C. Zhuang, "Price of Reinsurance Bargaining with Monetary Utility Functions (PDF)", working paper.

C. Weng, S. Zhuang, "CDF Formulation for Solving an Optimal Reinsurance Problem (PDF)", working paper.

S. C. Zhuang, C. Weng, K. S. Tan, H. Assa, "Marginal Indemnification Formulation for Optimal Reinsurance (PDF)", working paper.

H. Suny, C. Weng, Y. Zhang, "Optimal Multivariate Quotashare Reinsurance: A Nonparametric MeanCVaR Framework (PDF)", working paper

X. Chen, Y. Chi, K. S. Tan, "The design of an optimal retrospective rating plan (PDF)", working paper

T. J. Boonen, K. S. Tan, S. C. Zhuang, "Optimal Reinsurance with One Insurer and Multiple Reinsurers (PDF)", working paper.

C. Bernard, C. Czado, “Conditional Quantiles and Tail Dependence (PDF)” 2015, Journal of Multivariate Analysis, 138C, 104126.

C. Bernard, M. Denuit, S. Vanduffel, “ValueatRisk aggregation with partial dependence information.” 2015, working paper.

C. Bernard and M. Kwak "Semistatic Hedging of Variable Annuities (PDF)," working paper.

C. Bernard, L. Ruschendorf, S. Vanduffel, J. Yao "How robust is the VaR of credit risk portfolios? (PDF)" 2015, working paper.

C. Bernard, L. Ruschendorf, S. Vanduffel, R. Wang “Risk bounds for factor models.” working paper under submission.

C. Bernard, S. Vanduffel, “A new Approach to Assessing Model Risk in High Dimensions (PDF),” 2015, Journal of Banking and Finance, 58, 166178.

C. Bernard, S. Vanduffel “Quantiles of a mixture with applications to model risk assessment (PDF)”, under submission.

A. Mackay, A. Augustiniak, C. Bernard, M. Hardy, “Risk Management of Policyholder Behavior in EquityLinked Life Insurance (PDF),” 2015, Journal of Risk and Insurance, forthcoming

K.S. Tan, D. Blake, R. MacMinn, Longevity Risk and Capital Markets: The 201314 Update,
to appear in Insurance: Mathematics & Economics.
2014
 Bernard, C., Denuit, M., and Vanduffel, S. "Measuring portfolio risk under partial dependence information (PDF)"
 Bernard, C., Ruschendorf, L., and Vanduffel, S. "Valueatrisk bounds with variance constraints (PDF)"
 Bernard, C. and Vanduffel, S. "A new approach to assessing model risk in high dimensions (PDF)"
 Han, D., C. Weng, and K.S. Tan "Vine Copula models with GLM and sparsity (PDF)," revised and resubmitted.
 Bernard, C., J. Chen, S. Vanduffel, "Rationalizing investors' choice (PDF)," under review.
 Bernard, C., Moraux, F., Ruschendorf, L., and Vanduffel, S. "Optimal payoffs under statedependent preferences (PDF)"
 Bernard, C., C. Czado, "Conditional quantiles and tail dependence (PDF)," under review.
 Bernard, C., L. Ruschendorf, S. Vanduffel, J. Yao "How robust is the valueatrisk of credit risk portfolios? (PDF)", under review.
 Bernard, C. and Kwak, M. "Semistatic hedging of variable annuities (PDF)"
 Mackay, A., A. Augustiniak, C. Bernard, M. Hardy, "Risk management of policyholder behavior in equitylinked life insurance (PDF)," under review.
 Bernard, C., M. Kwak, "Dynamic preferences corresponding to popular investment strategies in pension funds (PDF)," to appear in Scandinavian Actuarial Journal.
 Memartoluie, A., Saunders, D., and Wirjanto, T., "WrongWay Risk Bounds in Counterparty Credit Risk Management (PDF)," under review.
 Men, Z., Wirjanto, T., and Kolkiewicz, A. "Multiscale stochastic volatility model with heavy tails and leverage effects (PDF)"
 Zhang, M., Kolkiewicz, A., Wirjanto, T., and Li, X. "The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe (PDF)"
 Bernard, C., M.R. Hardy, A. MacKay, (2014) "Statedependent fees for variable annuity guarantees (PDF)," ASTIN Bulletin, 44(3), 559585.
 Xu, D. and T.S. Wirjanto "On the computation of large portfolio’s VaRs under multivariate GARCH volatility (PDF)," under review.
 Bernard, C., A. MacKay, M. Muehlbeyer, (2014) "Optimal surrender policy for variable annuity guarantees (PDF)," Insurance: Mathematics and Economics, 55, 116128.
 Bernard, C., A. Mackay, "Reducing surrender incentives through fee structure in variable annuities (PDF)," book chapter, Forthcoming chapter in "Innovations in Quantitative Risk Management" edited by K. Glau, M. Scherer and R. Zagst.
 Cai, J. and C. Weng. "Optimal reinsurance with expectile (PDF)," under review.
 Weng, C (2014) "Discretetime CPPI under transaction cost and regime switching (PDF)," under review.
 Boyle, P. (2014) "Positive weights on the efficient frontier (PDF)," under review.
 Bernard, C., X. Jiang and R. Wang (2014) "Risk aggregation with dependence uncertainty (PDF)", Insurance: Mathematics and Economics, 54:93108.
2013
 Li, J.S.H., R. Zhou, and M.R. Hardy (2013). "A stepbystep guide to building two population stochastic mortality models (PDF)", under review.
 Bernard, C., A. MacKay and M. Muehlbeyer (2013) "Optimal surrender policy for variable annuity guarantees (PDF)", under review.
 Bernard, C., L. Ruschendorf, and S. Vandorf (2013) "Valueatrisk bounds with variance constraints (PDF)," under review.
 Bernard, C. and M. Kwak (post doc at University of Waterloo), "Dynamic preferences for popular investment strategies in pension funds (PDF)", working paper.
 Bernard, C., M. Hardy, A. MacKay, "Statedependent fees for variable annuity guarantees (PDF)", working paper.
 Cong, J. and K.S. Tan (2013). "Optimal VaRbased risk management with reinsurance (PDF)," under review.
 Chan, W.S., Li, J.S.H. and Li, J. (2013). "The CBD mortality indexes: modeling and applications (PDF)". North American Actuarial Journal, under review.
 Zhou, R., Wang, Y., Kaufhold, K., Li, J.S.H. and Tan, K.S. (2013) "Modeling mortality of multiple populations with vector error correction models: applications to solvency II (PDF)". North American Actuarial Journal, under review.
 Zhou, R., J.S.H. Li and K.S. Tan (2013) "Modeling trades in the life market as Nash bargaining problems: methodology and insights (PDF)", under review.
 Hardy, X., Saunders, D., and Zhu, X., 2013, "Market consistent valuation of cash balance liabilities (PDF)", 25 pages.
 Chengguo Weng, Hanhui Xie, 2013. "Discretetime constant proportion portfolio insurance under proportional trading cost", working papers.
 Lin, Y., K.S. Tan, R. Tian and J. Yu (2013) "Downside risk management of a defined benefit plan considering longevity basis risk (PDF)", working paper.
 Tan, K.S. and C. Weng. (2013) "Empiricalbased approach to optimal reinsurance (PDF)", working paper.
 Chi, Y. and K.S. Tan. (2013) "Optimal reinsurance with general premium principles (PDF)", working paper.
 Bernard, C., N. McGuillivray, Y. Liu, J. Zhang, (2013) "Bounds on capital requirements for bivariate risk with given marginals and partial information on the dependence (PDF)", Dependence Modelling, 1, 3753.
 Redekop, J. and T. S. Wirjanto (2013). "Exploring a twostate MarkovSwitching model for option pricing", working paper.
 Xu, D. and T. S. Wirjanto (2013). "Risk measures under stochastic volatility model with mixtureofnormal error distributions," working paper.
 Cheng, YH. and T. S. Wirjanto (2013). "Pricing financial derivatives by GramCharlier expansions", working paper.
 Choi, Y, and T. S. Wirjanto (2013) "A simple model of the nominal term structure of interest rates", working paper.
 Huang, W., C. Weng, and Y. Zhang (2013). "Multivariate risk models under heavytailed risks (PDF)", Applied Stochastic Models in Business and Industry, in press.
 Zhang, Min (July), Adam W. Kolkiewicz, Tony S. Wirjanto and Xindan Li (2013). "The impacts of financial crisis on sovereign credit risk in Asia and Europe", working paper.
 Memartoluie, A., D. Saunders and T. S. Wirjanto (2013). "Worstcase copulas, mass transportation and wrongway risk in counterparty credit risk management (PDF)", working paper.
 Tao, F. and T. S. Wirjanto (2013). "Discretetime portfolio optimization with transaction costs", working paper.
 Jianfa Cong, Ken Seng Tan, Chengguo Weng (2013). "CVaRbased optimal partial hedging (PDF)", The Journal of Risk, to appear.
 Lysa Porth, Ken Seng Tan, Chengguo Weng (2013). "Optimal reinsurance analysis from a crop insurer's perspective (PDF)", Agricultural Finance Review, to appear.
 Cong, J. K.S. Tan and C. Weng. "VaRbased optimal partial hedging (PDF)", to appear in Astin Bulletin.
 C. Bernard, E. Brechmann, C. Czado (Technische Universitat Munchen, Germany) "Statistical assessments of systemic risk measures (PDF)", 2013, Chapter in the handbook on systemic risk edited by J.P. Fouque and J. Langsam.
 C. Bernard, S. Vanduffel (Vrije Universiteit Brussels) "Meanvariance optimal portfolios in the presence of a benchmark with applications to fraud detection (PDF)", to appear in European Journal of Operational Research, 2013.
 Zhou, R., J.S.H. Li and K.S. Tan "Pricing mortality risk: A twopopulation model with transitory jump effects (PDF)," to appear in Journal of Risk and Insurance.
 Zhou, R., J.S.H. Li and K.S. Tan "Economic pricing of mortalitylinked securities: a Tâtonnement approach (PDF)", to appear in Journal of Risk and Insurance.
 Chengguo Weng (2013). "Constant proportion portfolio insurance under regime switching exponential Levy process (PDF)", to appear in Insurance: Mathematics and Economics
 Ng, A.C.Y. and Li, J.S.H. (2013) "Pricing and hedging variable annuity guarantees with multiasset stochastic investment models (PDF)." North American Actuarial Journal, 17, 4162.
 Yichun Chi, Chengguo Weng (2013). "Optimal reinsurance subject to Vajda condition (PDF)", Insurance: Mathematics and Economics 53 (1), 179189.
 Saunders, D., Seco, L., Vogt, C., and Zagst, R. (2013). "A Fund of Hedge Funds under Regime Switching", Journal of Alternative Investments, 15(4), 8–23.