Publications
Research Grants/Awards
Career Development Award, College of Liberal Arts and Sciences, Spring 2021
Centers of Actuarial Excellence (CAE) Research Grant (2018-2021), the Society of Actuaries, "Modeling, Measuring, and Managing Catastrophe Risks," PI, $228,000
(This is a multi-PI grant. Other PIs are Kung-Sik Chan, Yiqing Chen, Elias Shiu, and Qihe Tang.)Centers of Actuarial Excellence (CAE) Research Grant (2013-2016), the Society of Actuaries, "A Multifaceted Study of Risk Management for Insurance," PI, $244,104.02
(This is a multi-PI grant. Other PIs are Elias Shiu, N.D. Shyamalkumar, and Qihe Tang.)
Publications in Refereed Journals
Lo, A., Tang, Q., Tang, Z., 2021. Universally marketable insurance under multivariate mixtures. ASTIN Bulletin 51 (1), 221–243. [link]
Lo, A., 2020. Discussion of "optimal reinsurance designs based on risk measures: a review" by Jun Cai and Yichun Chi. Statistical Theory and Related Fields 4 (1), 23–25. [link]
Lo, A., 2019. Demystifying the integrated tail probability expectation formula. The American Statistician 73 (4), 367–374. [link]
Cheung, K.C., Chong W.F., Lo, A., 2019. Budget-constrained optimal reinsurance design under coherent risk measures. Scandinavian Actuarial Journal2019 (9), 729–751. [link]
Lo, A., Tang, Z., 2019. Pareto-optimal reinsurance policies in the presence of individual risk constraints. Annals of Operations Research 274 (1-2), 395–423. [link]
Lo, A., 2017. A Neyman–Pearson perspective on optimal reinsurance with constraints. ASTIN Bulletin 47 (2), 467–499. [link]
(Page 489: In the third and fourth displayed equations, r(SX) should be gi(SX).)Lo, A., 2017. A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints. Scandinavian Actuarial Journal 2017 (7), 584–605. [link]
Lo, A., 2017. Functional generalizations of Hoeffding's covariance lemma and a formula for Kendall's tau. Statistics and Probability Letters 122, 218–226. [link]
Cheung, K.C., Lo, A., 2017. Characterizations of optimal reinsurance treaties: a cost-benefit approach. Scandinavian Actuarial Journal 2017 (1), 1–28. [link]
Lo, A., 2016. How does reinsurance create value to an insurer? A cost-benefit analysis incorporating default risk. Risks 4(4), 48. [link]
(This is a feature paper in the special issue “Selected Papers from the 6th Gerber-Shiu Workshop and the 3rd Modeling of Heavy-Tail Phenomena Workshop”)Cheung, K.C., Lo, A., 2014. Characterizing mutual exclusivity as the strongest negative multivariate dependence structure. Insurance: Mathematics and Economics 55, 180–190. [link]
Cheung, K.C., Dhaene, J., Lo, A., Tang, Q., 2014. Reducing risk by merging counter-monotonic risks. Insurance: Mathematics and Economics 54, 58–65. [link]
Cheung, K.C., Lo, A., 2013. General lower bounds on convex functionals of aggregate sums. Insurance: Mathematics and Economics 53, 884–896. [link]
Cheung, K.C., Lo, A., 2013. Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order. Insurance: Mathematics and Economics 53, 334–342. [link]
Other Publications