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Elias S. W. Shiu · Study
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Author
Elias S. W. Shiu
29 works
· latest 2013
· 4 institutions
cluster: provisional
ORCID 0000-0003-1137-0827
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29
Citations
4,234
Works here
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Most cited in this library
On the Time Value of Ruin
1998 · 786 citations
Option pricing by Esscher transforms.
1995 · 651 citations
Optimal Dividends
2004 · 276 citations
The Time Value of Ruin in a Sparre Andersen Model
2005 · 241 citations
On Optimal Dividend Strategies In The Compound Poisson Model
2006 · 239 citations
Works
29 shown
Valuing equity-linked death benefits in jump diffusion models
Insurance Mathematics and Economics
·
2013
·
3 authors
·
Open access
54
citations
The Omega model: from bankruptcy to occupation times in the red
European Actuarial Journal
·
2012
·
3 authors
·
Open access
51
citations
Valuing equity-linked death benefits and other contingent options: A discounted density approach
Insurance Mathematics and Economics
·
2012
·
3 authors
·
Open access
57
citations
The optimal dividend barrier in the Gamma–Omega model
European Actuarial Journal
·
2011
·
3 authors
·
Open access
85
citations
Optimal dividends in the dual model
Insurance Mathematics and Economics
·
2006
·
3 authors
182
citations
Maximizing Dividends without Bankruptcy
Astin Bulletin
·
2006
·
3 authors
·
Open access
49
citations
On Optimal Dividend Strategies In The Compound Poisson Model
North American Actuarial Journal
·
2006
·
2 authors
239
citations
On optimal dividends: From reflection to refraction
Journal of Computational and Applied Mathematics
·
2005
·
2 authors
·
Open access
86
citations
The Time Value of Ruin in a Sparre Andersen Model
North American Actuarial Journal
·
2005
·
2 authors
241
citations
Optimal Dividends
North American Actuarial Journal
·
2004
·
2 authors
276
citations
Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends
North American Actuarial Journal
·
2003
·
2 authors
56
citations
Pricing Perpetual Fund Protection with Withdrawal Option
North American Actuarial Journal
·
2003
·
2 authors
35
citations
Pricing Lookback Options and Dynamic Guarantees
North American Actuarial Journal
·
2003
·
2 authors
69
citations
Stochastic Calculus and Financial Applications
Journal of the American Statistical Association
·
2001
·
1 author
·
other
38
citations
Discounted probabilities and ruin theory in the compound binomial model
Insurance Mathematics and Economics
·
2000
·
3 authors
98
citations
Investing for Retirement
North American Actuarial Journal
·
2000
·
2 authors
33
citations
From ruin theory to pricing reset guarantees and perpetual put options
Insurance Mathematics and Economics
·
1999
·
2 authors
52
citations
Financial Economics: With Applications to Investments, Insurance and Pensions
·
1999
·
11 authors
·
book
145
citations
Pricing Perpetual Options for Jump Processes
North American Actuarial Journal
·
1998
·
2 authors
52
citations
On the Time Value of Ruin
North American Actuarial Journal
·
1998
·
2 authors
786
citations
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
Insurance Mathematics and Economics
·
1997
·
2 authors
205
citations
Actuarial bridges to dynamic hedging and option pricing
Insurance Mathematics and Economics
·
1996
·
2 authors
189
citations
Option pricing by Esscher transforms.
IRIS
·
1995
·
2 authors
651
citations
Martingale Approach to Pricing Perpetual American Options
Astin Bulletin
·
1994
·
2 authors
·
Open access
111
citations
Risk Theory with the Gamma Process
Astin Bulletin
·
1991
·
3 authors
·
Open access
144
citations
On Redington's theory of immunization
Insurance Mathematics and Economics
·
1990
·
1 author
40
citations
The Probability of Eventual Ruin in the Compound Binomial Model
Astin Bulletin
·
1989
·
1 author
·
Open access
122
citations
Calculation of the probability of eventual ruin by Beekman's convolution series
Insurance Mathematics and Economics
·
1988
·
1 author
48
citations
On the Fisher-Weil immunization theorem
Insurance Mathematics and Economics
·
1987
·
1 author
40
citations