Ruin and Solvency
Classic ruin theory is devoted to the quantification and assessment of the likelihood of insolvency for insurance business. A typical approach for ruin analysis is to investigate a stochastic model representing an insurer’s asset and liability structure and to calculate various measures of ruin, which occurs when the insurer’s assets fail to keep up with its liabilities.
Runhuan’s work focused on the development of systematic approaches to study ruin-related quantities including ruin probabilities, surplus and deficit (Gerber-Shiu analysis), operating costs until ruin, insures’ utilities, etc. He particularly enjoys the elegance of matrix/algebraic operator approaches in ruin theory.
E.C.K. Cheung, R. Feng. (2019) Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times. Scandinavian Actuarial Journal, 2019 (5), 355-386. Download
R. Feng, H.W. Volkmer, S. Zhang, C. Zhu. (2015) Optimal dividend policies for piecewise-deterministic compound Poisson risk models, Scandinavian Actuarial Journal, 2015 (5), 423–454. Download
R. Feng, Y. Shimizu. (2014) Potential measures of spectrally negative Markov additive processes with applications to ruin theory. Insurance: Mathematics and Economics, 59, 11–26. Download
R. Feng, Y. Shimizu. (2013) On a generalization from ruin to default in Lévy insurance risk models, Methodology and Computing in Applied Probability, 15 (4), 773–802. Download
E.C.K. Cheung, R. Feng. (2013) A unified analysis of claim costs up to ruin in a Markovian arrival risk model. Insurance: Mathematics and Economics, 53 (1), 98–109. Download
R. Feng. (2011) An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models, Insurance: Mathematics and Economics 48 (2), 304–313. Download
R. Feng. (2009) A matrix operator approach to the analysis of ruin-related quantities in the phase-type renewal risk model, Schweizerische Aktuarvereinigung Mitteilungen, 1, 71-87. Download
R. Feng. (2009) On the total operating costs up to default in a renewal risk model, Insurance: Mathematics and Economics, 34 (2), 305-314. Download
J. Cai, R. Feng, G.E. Willmot. (2009) On the expectation of total discounted operating costs up to default and its applications, Advances in Applied Probability, 41 (2), 495-522. Download
J. Cai, R. Feng, G.E. Willmot. (2009) Analysis of the compound Poisson surplus model with liquid reserves, interest and dividends, ASTIN Bulletin, 39 (1): 225-247. Download
J. Cai, R. Feng, G.E. Willmot. (2009) The compound Poisson surplus model with interest and liquid reserves: analysis of the Gerber-Shiu discounted penalty function, Methodology and Computing in Applied Probability, 11 (3): 401-423. Download