Research Papers in Finance, Actuarial Science and Applied Probability

  1. Lin, X., Willmot, G.E. and Drekic, S. (2003). `` The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," pdf file to appear in Insurance: Mathematics and Economics.
  2. Lin, X. and Tan, K.S. (2003). ``Valuation of equity-indexed annuities under stochastic interest rate", pdf file North American Actuarial Journal, to appear in the October issue.
  3. Willmot, G.E., Cai, J. and Lin, X.S. (2001). ``Lundberg inequalities for renewal equations," Advance in Applied Probability, 33, 674-689.
  4. Willmot, G.E. and Lin, X. (2001) Lundberg Approximations for Compound Distributions with Insurance Applications, Lecture Notes in Statistics 156, Springer-Verlag, New York.
  5. Lin, X. and G.E. Willmot (2000) `` The moments of the time of ruin, the surplus before ruin, and the deficit at ruin," submitted to Insurance: Mathematics and Economics, 27, 19-44.
  6. Lin, X. (1999) ``Valuation of options on the maximum/minimum of multiple assets, discrete lookback options and equity-indexed annuities," Finance, 20, 95-114.
  7. Lin, X. and G.E. Willmot (1999) ``Analysis of a defective renewal equation arising in ruin theory," Insurance: Mathematics and Economics. 25, 63-84.
  8. Willmot, G.E. and X. Lin (1998) ``Exact and approximate results for the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, 23, 91-110.
  9. Lin, X. (1998) ``Double barrier hitting time distributions with applications to exotic options," Insurance: Mathematics and Economics, 23, 45-58.
  10. Boyle, P. and X. Lin (1997) ``Bounds on contingent claims based on several assets," Journal of Financial Economics, 46, 383-400.
  11. Boyle, P. and X. Lin (1997) ``Optimal portfolio selection with transaction costs," North American Actuarial Journal, 1, 27-39.
  12. Willmot, G.E. and X. Lin (1997) ``Simplified bounds on the tails of compound distributions," Journal of Applied Probability, 34, 127-133.
  13. Willmot, G.E. and X. Lin (1997) ``Upper bounds for the tail of the compound negative binomial distribution," Scandinavian Actuarial Journal, 97:2, 138-148.
  14. Boyle, P. and X. Lin (1997) ``Valuation of options on several risky assets when there are transactions costs," Advances in Futures and Options Research, 9, 111-127.
  15. Willmot, G.E. and X. Lin (1996) ``Bounds on the tails of convolutions of compound distributions," Insurance: Mathematics and Economics, 18, 29-33.
  16. Lin, X. (1996) ``Tail of compound distributions and excess time," Journal of Applied Probability, 33, 184-195.
  17. Willmot, G.E. and X. Lin (1994) ``Lundberg bounds on the tails of compound distributions," Journal of Applied Probability, 31, 743-756.

Other Research Papers

  1. Lin, X. and X. Liu (1994). ``Qualitative study of an HIV transmission model among IV drug users," Applied Mathematics and Computation, 60, 215-236.
  2. Lin, X., H.W. Hethcote and P. van den Driessche (1993). ``An epidemiological model for HIV/AIDS with proportional recruitment," Mathematical Biosciences, 118, 181-195.
  3. Lin, X. and J. So (1993). ``Global stability of the endemic equilibrium and uniform persistence of epidemic models with subpopulations," Journal of the Australian Mathematical Society, Serial B, 34, 282-295.
  4. Lin, X. (1992). ``On the global stability of a delay epidemic model," Journal of the Australian Mathematical Society, Serial B, 34, 26-34.
  5. Lin, X. and P. van den Driessche (1992). ``A threshold result for an epidemiological model," Journal of Mathematical Biology, 30, 647-654.
  6. Lin, X., J. So and J. Wu (1992). ``Center manifolds for partial differential equations with delays," Proceedings of the Royal Society of Edinburgh, 122A, 237-254.
  7. Antonelli, P., R. Bradbury, N. Kazarinoff, X. Lin and R. Reichet (1992). ``Large scale starfish waves and reefal connectance," Ecological Modeling, 61, 187-194.
  8. Antonelli, P., R. Bradbury and X. Lin (1992). ``On Hutchingson's competition equations and their homogenization: a high-order principle of competitive exclusion," Ecological Modeling, 60, 309-320.
  9. Antonelli, P., R. Bradbury and X. Lin (1991). ``A high-order predator-prey interaction with applications to observed starfish waves and cycles," Ecological Modeling, 58, 23-332.
  10. Lin, X. (1991). ``On the uniqueness of endemic equilibria of an HIV/AIDS transmission model for a heterogeneous population," Journal of Mathematical Biology, 29, 779-790.
  11. Lin, X. (1991). ``Qualitative analysis of an HIV transmission model," Mathematical Biosciences, 104, 111-134.
  12. Lin, X. and J. So (1990). ``Some results on an SIRS epidemic model with subpopulations," Mathematical and Computer Modeling, 14, 659-661.
  13. Antonelli, P. and X. Lin (1990). ``Mathematical analysis of a coral-starfish model," Mathematical and Computer Modeling, 13, 35-44.
  14. Lin, X. (1989). ``Time-varying vector fields on a compact Riemannian manifold II," Chinese Annals of Differential Equations, 5, 63-73.
  15. Lin, X. (1988). ``Time-varying vector fields on a compact Riemannian manifold I," Chinese Annals of Mathematics, 9B, 95-106.
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