Publications

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Refereed Publications

1. Bladt, M., Cheung, E.C.K., Peralta, O. and Woo, J.-K. Modeling discrete common-shock risks through matrix distributions. ASTIN Bulletin. In press. [link]

2. Tang, K., Cheung, E.C.K. and Woo, J.-K. 2025. Designing and valuing new equity-linked insurance products for couples. Insurance: Mathematics and Economics 121: 111-132. [link (open access)]

3. Cheung, E.C.K., Ip, R.H.L., Tam, H.O. and Woo, J.-K. Cointegration analysis of crop yields and extreme weather factors using Actuaries Climate Index with application of bonus-malus system. North American Actuarial Journal. In press. [link (open access)]

4. Cheung, E.C.K. and Zhu, W. 2023. Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims. Insurance: Mathematics and Economics 111: 84-101. [link]

5. Cheung, E.C.K. and Liu, H. 2023. Joint moments of discounted claims and discounted perturbation until ruin in the compound Poisson risk model with diffusion. Probability in the Engineering and Informational Sciences 37(2): 387-417. [link]

6. Cheung, E.C.K. and Wong, J.T.Y. 2023. A note on a modified Parisian ruin concept. Risks 11(3): 56. [link]

7. Cheung, E.C.K., Lau, H., Willmot, G.E. and Woo, J.-K. 2023. Finite-time ruin probabilities using bivariate Laguerre series. Scandinavian Actuarial Journal 2023(2): 153-190. [link] [50 free copies available here] [sample Mathematica notebook available at Wolfram archive] (Remark: There are typos regarding the descriptions in the notebook in the Wolfram archive: it actually produces Table 9 in the paper, not Table 10. The correct file that reproduces Table 10 can be downloaded [here].)

8. Ahn, J.Y., Cheung, E.C.K., Oh, R. and Woo, J.-K. 2022. Optimal relativities in a modified bonus-malus system with long-memory transition rules and frequency-severity dependence. Variance 15(2). [link] [short article at Actuaries Digital]

9. Cheung, E.C.K., Peralta, O. and Woo, J.-K. 2022. Multivariate matrix-exponential affine mixtures and their applications in risk theory. Insurance: Mathematics and Economics 106: 364-389. [link]

10. Albrecher, H., Cheung, E.C.K., Liu, H. and Woo, J.-K. 2022. A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process. Insurance: Mathematics and Economics 103: 96-118. [link]

11. Cheung, E.C.K., Ni, W., Oh, R. and Woo, J.-K. 2021. Bayesian credibility under a bivariate prior on the frequency and the severity of claims. Insurance: Mathematics and Economics 100: 274-295. [link]

12. Cheung, E.C.K. and Zhang, Z. 2021. Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion. Scandinavian Actuarial Journal 2021(9): 804-831. [link] [50 free copies available here]

13. Cheung, E.C.K., Rabehasaina, L., Woo, J.-K. and Xu, R. 2019. Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process. European Journal of Operational Research 276(2): 582-601. [link]

14. Cheung, E.C.K. and Feng, R. 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. [link] [50 free copies available here]

15. Cheung, E.C.K. and Zhang, Z. 2019. Periodic threshold-type dividend strategy in the compound Poisson risk model. Scandinavian Actuarial Journal 2019(1): 1-31. [link] [50 free copies available here]

16. Cheung, E.C.K., Dai, S. and Ni, W. 2018. Ruin probabilities in a Sparre Andersen model with dependency structure based on a threshold window. Annals of Actuarial Science 12(2): 269-295. [link]

17. Cheung, E.C.K., Liu, H. and Willmot, G.E. 2018. Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps. Applied Mathematics and Computation 331: 358-377. [link]

18. Zhang, Z. and Cheung, E.C.K. 2018. A note on a Lévy insurance risk model under periodic dividend decisions. Journal of Industrial and Management Optimization 14(1): 35-63. [link]

19. Ahn, S., Badescu, A.L., Cheung, E.C.K. and Kim, J.-R. 2018. An IBNR-RBNS insurance risk model with marked Poisson arrivals. Insurance: Mathematics and Economics 79: 26-42. [link]

20. Zhang, Z., Cheung, E.C.K. and Yang, H. 2018. On the compound Poisson risk model with periodic capital injections. ASTIN Bulletin 48(1): 435-477. [link]

21. Cheung, E.C.K. and Wong, J.T.Y. 2017. On the dual risk model with Parisian implementation delays in dividend payments. European Journal of Operational Research 257(1): 159-173. [link]

22. Zhang, Z., Cheung, E.C.K. and Yang, H. 2017. Lévy insurance risk process with Poissonian taxation. Scandinavian Actuarial Journal 2017(1): 51-87. [link]

23. Cheung, E.C.K. and Liu, H. 2016. On the joint analysis of the total discounted payments to policyholders and shareholders: Threshold dividend strategy. Annals of Actuarial Science 10(2): 236-269. [link]

24. Zhang, Z. and Cheung, E.C.K. 2016. The Markov additive risk process under an Erlangized dividend barrier strategy. Methodology and Computing in Applied Probability 18(2): 275-306. [link]

25. Cheung, E.C.K. and Woo, J.-K. 2016. On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes. Scandinavian Actuarial Journal 2016(1): 63-91. [link]

26. Wong, J.T.Y. and Cheung, E.C.K. 2015. On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps. Insurance: Mathematics and Economics 65: 280-290. [link]

27. Cheung, E.C.K., Liu, H. and Woo, J.-K. 2015. On the joint analysis of the total discounted payments to policyholders and shareholders: Dividend barrier strategy. Risks 3(4): 491-514. [link] 

28. Liu, L. and Cheung, E.C.K. 2015. On a bivariate risk process with a dividend barrier strategy. Annals of Actuarial Science 9(1): 3-35. [link] 

29. Liu, L. and Cheung, E.C.K. 2014. On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model. Applied Mathematics and Computation 247: 1183-1201. [link]

30. Choi, M.C.H. and Cheung, E.C.K. 2014. On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions. Insurance: Mathematics and Economics 59: 121-132. [link]

31. Albrecher, H., Cheung, E.C.K. and Thonhauser, S. 2013. Randomized observation periods for the compound Poisson risk model: The discounted penalty function. Scandinavian Actuarial Journal 2013(6): 224-252. [link]

32. Cheung, E.C.K. 2013. Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times. Insurance: Mathematics and Economics 53(2): 343-354. [link]

33. Cheung, E.C.K. and Feng, R. 2013. A unified analysis of claim costs up to ruin in a Markovian arrival risk model. Insurance: Mathematics and Economics 53(1): 98-109.  [link]

34. Woo, J.-K. and Cheung, E.C.K. 2013. A note on discounted compound renewal sums under dependency. Insurance: Mathematics and Economics 52(2): 170-179. [link]

35. Avanzi, B., Cheung, E.C.K., Wong, B. and Woo, J.-K. 2013. On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency. Insurance: Mathematics and Economics 52(1): 98-113. [link]

36. Cheung, E.C.K. 2012. A unifying approach to the analysis of business with random gains. Scandinavian Actuarial Journal 2012(3): 153-182. [link] [simplification to equation (4.12)]

37. Cheung, E.C.K. and Landriault, D. 2012. On a risk model with surplus-dependent premium and tax rates. Methodology and Computing in Applied Probability 14(2): 233-251. [link]

38. Gong, L., Badescu, A.L. and Cheung, E.C.K. 2012. Recursive methods for a multi-dimensional risk process with common shocks. Insurance: Mathematics and Economics 50(1): 109-120. [link]

39. Albrecher, H., Cheung, E.C.K. and Thonhauser, S. 2011. Randomized observation periods for the compound Poisson risk model: Dividends. ASTIN Bulletin 41(2): 645-672. [link] [typos in equations (48) and (57)]

40. Badescu, A.L., Cheung, E.C.K. and Rabehasaina, L. 2011. A two-dimensional risk model with proportional reinsurance. Journal of Applied Probability 48(3): 749-765. [link]

41. Cheung, E.C.K. 2011. On a class of stochastic models with two-sided jumps. Queueing Systems: Theory and Applications 69(1): 1-28.  [link] [correction to equation (4.10)]

42. Cheung, E.C.K., Landriault, D. and Badescu, A.L. 2011. On a generalization of the risk model with Markovian claim arrivals. Stochastic Models 27(3): 407-430. [link]

43. Cheung, E.C.K. 2011. A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium. Insurance: Mathematics and Economics 48(3): 384-397. [link]

44. Cheung, E.C.K., Landriault, D., Willmot, G.E. and Woo, J.-K. 2011. On orderings and bounds in a generalized Sparre Andersen risk model. Applied Stochastic Models in Business and Industry 27(1): 51-60. [link]

45. Cheung, E.C.K., Landriault, D., Willmot, G.E. and Woo, J.-K. 2010. Gerber-Shiu analysis with a generalized penalty function. Scandinavian Actuarial Journal 2010(3): 185-199. [link]

46. Cheung, E.C.K. and Landriault, D. 2010. A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model. Insurance: Mathematics and Economics 46(1): 127-134. [link]

47. Cheung, E.C.K., Landriault, D., Willmot, G.E. and Woo, J.-K. 2010. Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models. Insurance: Mathematics and Economics 46(1): 117-126. [link]

48. Cheung, E.C.K. and Landriault, D. 2009. Analysis of a generalized penalty function in a semi-Markovian risk model. North American Actuarial Journal 13(4): 497-513. [link] [typo in section 6.3]

49. Cheung, E.C.K. and Landriault, D. 2009. Perturbed MAP risk models with dividend barrier strategies. Journal of Applied Probability 46(2): 521-541. [link]

50. Badescu, A.L., Cheung, E.C.K. and Landriault, D. 2009. Dependent risk models with bivariate phase-type distributions. Journal of Applied Probability 46(1): 113-131. [link]

51. Cheung, E.C.K. and Drekic, S. 2008. Dividend moments in the dual risk model: Exact and approximate approaches. ASTIN Bulletin 38(2): 399-422. [link]

52. Cheung, E.C.K., Dickson, D.C.M. and Drekic, S. 2008. Moments of discounted dividends for a threshold strategy in the compound Poisson risk model. North American Actuarial Journal 12(3): 299-318. [link]

Other Publications

1. Cheung, E.C.K. 2010. Discussion article of 'A direct approach to the discounted penalty function'. North American Actuarial Journal 14(4): 441-445. [link]

2. Cheung, E.C.K. 2008. Discussion article of 'Recursive calculation of the dividend moments in a multi-threshold risk model'. North American Actuarial Journal 12(3): 336-340. [link]

3. Cheung, E.C.K. 2007. Discussion article of 'Moments of the dividend payments and related problems in a Markov-modulated risk model'. North American Actuarial Journal 11(4): 145-148. [link]

4. Cheung, E.C.K. 2007. Discussion article of 'A risk model with multilayer dividend strategy'. North American Actuarial Journal 11(3): 176-183. [link]

5. Cheung, E.C.K. 2007. Discussion article of 'On optimal dividend strategies in the compound Poisson model'. North American Actuarial Journal 11(1): 158-161. [link]