Referred Publications

  1. Landriault, D., and G. Willmot. (2019). On series expansion for scale functions and other ruin-related quantities. Scandinavian Actuarial Journal. In press.
  2. Landriault, D., Li, B., Shi, T. and D. Xu. (2019). On the distribution of classic and some exotic ruin times. Insurance: Mathematics and Economics. In press.
  3. Landriault, D., Li, B., Li, D. and V.R. Young. (2018). Equilibrium strategies for the mean-variance investment problem over a random horizon. SIAM Journal on Financial Mathematics 9(3), 1046–1073.
  4. Landriault, D., Li, B., Wong, J.T.Y. and D. Xu. (2018). Poissonian potential measures for Lévy risk models. Insurance: Mathematics and Economics 82: 152-166.
  5. Landriault, D., Li, B. and S. Li. (2018). Expected utility of the drawdown-based regime-switching risk model with state-dependent termination. Insurance: Mathematics and Economics 79: 137-147.
  6. Landriault, D., Li, B., and H. Zhang. (2017). A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes. Journal of Applied Probability 54(2): 603-626.
  7. Landriault, D., Li, B., Loke, S.H., Willmot, G.E., and D. Xu. (2017). A note on the convexity of ruin probabilities. Insurance: Mathematics and Economics 74: 1-6.
  8. Landriault, D., Li, B. and H. Zhang. (2017). On magnitude, asymptotics and duration of drawdowns for Levy models. Bernoulli 23(1): 432–458.
  9. Cossette, H., Landriault, D., Marceau, E. and K. Moutanabbir. (2017). Finite Mixed Erlang Moment-Based Approximation. Variance 10(1): 166-182.
  10. Landriault, D.; Li, B.; Li, S. (2017). Drawdown risk analysis for the renewal insurance risk process. Scandinavian Actuarial Journal 2017(3): 267-285.
  11. Landriault, D., Willmot, G.E., and D. Xu. (2017). Analysis of IBNR Claims in Renewal Insurance Models. Scandinavian Actuarial Journal 2017(7): 628-650.
  12. Cai, J., Landriault, D., Shi, T., and Wei, W. (2017). Joint insolvency analysis of a shared MAP risk process: a capital allocation application. North American Actuarial Journal 21 (2): 178-192.
  13. Landriault, D., Li, B., Li, D. and D. Li. (2016). A pair of optimal reinsurance–investment strategies in the two-sided exit framework. Insurance: Mathematics and Economics 71: 284-294.
  14. Chen, X., Landriault, D., Li, B. and D. Li. (2015). On Minimizing Drawdown Risks of Lifetime Investments. Insurance: Mathematics and Economics 65(2015): 46-54.
  15. Huynh, M., Landriault, D., Shi, T., and G.E. Willmot. (2015). On a risk model with claim investigation. Insurance: Mathematics and Economics 65(2015): 37-45.
  16. Landriault, D., Lin, X.S. and G.E. Willmot (2015). Ruin Theory. Wiley StatsRef: Statistics Reference Online. 1–8.
  17. Landriault, D., Moutanabbir, K. and G.E. Willmot. (2015). A note on order statistics in the mixed Erlang case. Statistics and Probability Letter 106: 13–18.
  18. Landriault, D., Li, B. and H. Zhang. (2015). On the frequency of drawdowns for Brownian motion processes. Journal of Applied Probability 52(1): 191-208.
  19. Landriault, D., Li, B. and S. Li. (2015). Analysis of a drawdown-based regime-switching Lévy insurance model. Insurance: Mathematics and Economics 60(1): 98-107.
  20. Landriault, D. and T. Shi. (2015). Occupation times in the MAP risk model. Insurance: Mathematics and Economics 60(1): 75-82.
  21. Li, S., Landriault, D. and C. Lemieux. (2015). A risk model with varying premiums: its risk management implications. Insurance: Mathematics and Economics 60(1): 38-46.
  22. Landriault, D., Willmot, G.E. and D. Xu. (2014). On the analysis of time dependent claims in a class of birth process claim count models. Insurance: Mathematics and Economics 58: 168-173.
  23. Landriault, D., Renaud, J.-F. and Zhou, X. (2014). Insurance risk models with Parisian implementation delays. Methodology and Computing in Applied Probability 16(3): 583-607.
  24. Landriault, D., Lee, W.Y., Willmot, G.E. and Woo, J.-K. (2014). A note on deficit analysis in dependency models involving Coxian claim amounts. Scandinavian Actuarial Journal 2014(5): 405-423.
  25. Landriault, D., and Shi, T. (2014). First passage time for compound Poisson processes with diffusion: ruin theoretical and financial applications. Scandinavian Actuarial Journal 2014(4), 368-382.
  26. Guo, L., Landriault, D. and Willmot, G.E. (2013). On the analysis of a class of loss models incorporating time dependence. European Actuarial Journal 3(1): 273-294.
  27. Shi, T. and Landriault, D. (2013). Distribution of the time to ruin in some Sparre Andersen risk models. Astin Bulletin 43(1): 39-59.
  28. Landriault, D., Lemieux, C. and Willmot, G.E. (2012). An adaptive premium policy with a Bayesian motivation in the classical risk model. Insurance: Mathematics and Economics 51(2): 370-378.
  29. Cossette, H., Landriault, D., Marceau, E., and Moutanabbir, K. (2012). Analysis of the discounted sum of ascending ladder heights. Insurance: Mathematics and Economics 51(2): 393-401.
  30. Cheung, E.C.K. and Landriault, D. (2012). On a risk model with surplus-dependent premium and tax rates. Applied Stochastic Models in Business and Industry 14(2): 233-251.
  31. Landriault, D., Renaud, J.-F. and Zhou, X. (2011). Occupation times of spectrally negative Lévy processes with applications. Stochastic processes and their applications 212(11): 2629-2641.
  32. Landriault, D., Shi, T. and Willmot, G.E. (2011). Joint density involving the time to ruin in the Sparre Andersen risk model under the exponential assumption. Insurance: Mathematics and Economics 49(3): 371-379.
  33. Cheung, E.C.K., Landriault, D. and Badescu, A.L. (2011). On a generalization of the risk model with Markovian claim arrivals. Stochastic Models 27(3): 407-430.
  34. Landriault, D. and Sendova, K.P. (2011). A direct approach to a first passage problem with applications in risk theory. Stochastic Models 27(3): 388-406.
  35. Cheung, E.C.K., Landriault, D., Willmot, G.E. and J.-K. Woo. (2011). On ordering and bounds in a generalized Sparre Andersen risk model. Applied Stochastic Models in Business and Industry 27(1): 51-60.
  36. Cheung, E.C.K., Landriault, D., Willmot, G.E. and J.-K. Woo. (2010). Gerber-Shiu analysis with a generalized penalty function. Scandinavian Actuarial Journal 2010(3): 185-199.
  37. Cheung, E.C.K., Landriault, D., Willmot, G.E. and J.-K. Woo. (2010). Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models. Insurance: Mathematics and Economics 46(1): 117-126.
  38. Cheung, E.C.K. and Landriault, D. (2010). A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model. Insurance: Mathematics and Economics 46(1): 127-134.
  39. Cheung, E.C.K. and Landriault, D. (2009). Analysis of a generalized penalty function in a semi-Markovian risk model. North American Actuarial Journal 13(4): 497-513.
  40. Landriault, D. and G.E. Willmot (2009). On the joint distributions of the time to ruin, the surplus prior to ruin and the deficit at ruin in the classical risk model. North American Actuarial Journal 13(2): 252-270.
  41. Cheung, E.C.K. and Landriault, D. (2009). Perturbed MAP risk models with dividend barrier strategies. Journal of Applied Probability 46(2): 521-541.
  42. Badescu, A.L. and Landriault, D. (2009). Applications of matrix analytic methods in ruin theory - a review. Revista de la Real Academia de Ciencias Serie A Matemáticas 103(2): 353-372.
  43. Badescu, A.L., Cheung, E.C.K. and Landriault, D. (2009). Dependent risk models with bivariate phase-type distributions. Journal of Applied Probability 46(1): 113-131.
  44. Albrecher, H., Badescu, A.L. and Landriault, D. (2008). On the dual risk model with taxation. Insurance: Mathematics and Economics 42(3): 1086-1094.
  45. Landriault, D. (2008). On a generalization of the expected discounted penalty function in a discrete-time insurance risk model. Applied Stochastic Models in Business and Industry 24(6): 525-539.
  46. Badescu, A.L. and Landriault, D. (2008). Recursive calculation of the dividend moments in a multi-threshold risk model. North American Actuarial Journal 12(1): 1-15.
  47. Landriault, D. (2008). Constant dividend barrier in a risk model with time-dependent claim sizes. Insurance: Mathematics and Economics 42(1): 31-38.
  48. Landriault, D. and Willmot, G.E. (2008). On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution. Insurance: Mathematics and Economics 42(2): 600-608.
  49. Landriault, D. (January 2008). Randomized dividends in the compound binomial model with a general premium rate. Scandinavian Actuarial Journal 2008(1): 1-15.
  50. Badescu, A.L., Drekic, S. and Landriault, D. (2007). On the analysis of a multi-threshold Markovian risk model. Scandinavian Actuarial Journal 2007(4): 248-260.
  51. Badescu, A.L., Drekic, S. and Landriault, D. (2007). Analysis of a Threshold Dividend Strategy for a MAP Risk Model. Scandinavian Actuarial Journal 2007(4): 227-247.
  52. Badescu, A.L. and Landriault, D. (2007). Moments of the discounted dividends in a threshold-type Markovian risk process. Brazilian Journal of Probability and Statistics 2007(21): 13-25.
  53. Badescu, A.L. and Landriault, D. (2007). On the dividend moments in a Markovian risk process. Proceedings of the Third Brazilian Conference on Statistical Modelling in Insurance and Finance 2007: 92-97.
  54. Boudreault, M., Cossette, H., Landriault, D. and Marceau, E. (2006). On a risk model with dependence between interclaim arrivals and claim sizes. Scandinavian Actuarial Journal 2006(5): 265-285.
  55. Cossette, H., Landriault, D. and Marceau, E. (2006). Ruin probabilities in the discrete-time renewal risk model. Insurance: Mathematics and Economics 38(2): 309-323.
  56. Cossette, H., Landriault, D. and E. Marceau (2004). Compound binomial risk model in a Markovian environment. Insurance: Mathematics and Economics 35: 425-443.
  57. Cossette, H., Landriault, D. and E. Marceau (2004). Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model. Insurance: Mathematics and Economics 34: 449-466.
  58. Cossette, H., Landriault, D. and E. Marceau (2004). Risk measures related to the surplus process in the compound Markov binomial model. Bulletin of the Association of Swiss Actuaries 1: 77-114.
  59. Cossette, H., Landriault, D. and E. Marceau (2003). Ruin probabilities in the Compound Markov Binomial Model. Scandinavian Actuarial Journal: 301-323.

Referred Publications (Submitted for publication)

  1. Chen, L., Landriault, D., Li, B. and D. Li. Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Submitted.
  2. Cao, J., Landriault, D. and B. Li. Optimal Reinsurance-Investment Strategies for Dynamic Contagion Claims. Submitted. First revision requested.
  3. Landriault, D., Li, B. and D. Li. An Analysis on Drawdown-based Income Structure of Fund
    Managers. Submitted.
  4. M.A. Lkabous, Landriault, D. and B. Li. On occupation times in the red of Lévy risk models. Submitted. First revision requested.