Runhuan Feng

20092019
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Insurance Mathematics
Compound Poisson Mathematics
Risk Measures Mathematics
Equity Mathematics
Dividend Mathematics
Gerber-Shiu Function Mathematics
Ruin Theory Mathematics
Model Mathematics

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Research Output 2009 2019

Exponential functionals of Lévy processes and variable annuity guaranteed benefits

Feng, R., Kuznetsov, A. & Yang, F., Feb 2019, In : Stochastic Processes and their Applications. 129, 2, p. 604-625 22 p.

Research output: Contribution to journalArticle

Brownian movement
Geometric Brownian Motion
Equity
Asian Options
Black-Scholes Model

Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times

Cheung, E. C. K. & Feng, R., May 28 2019, In : Scandinavian Actuarial Journal. 2019, 5, p. 355-386 32 p.

Research output: Contribution to journalArticle

Renewal
Costs
Ladder Height
Compound Poisson
Risk Process
Hedging
Risk Management
Risk Measures
Modeling
Insurance

An introduction to computational risk management of equity-linked insurance

Feng, R., 2018, CRC Press, Boca Raton, FL. (Chapman Hall/CRC Financial Mathematics Series)

Research output: Book/ReportBook

Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits

Feng, R. & Jing, X., Jan 1 2017, In : Insurance: Mathematics and Economics. 72, p. 36-48 13 p.

Research output: Contribution to journalArticle

Hedging
Valuation
Lifetime
Equity
Monte Carlo Simulation