Research Publications

Publications

Working papers

1. Osatakul, D., Li, S., Wu, X.* Discrete-time risk models with time-delayed claims and varying premiums, under review.

2. Zhang, P., Chen, Z.*, Tzougas, G., Calderín–Ojeda, E., Dassios, A., Wu, X. Multivariate zero-inflated INAR(1) model with an application in automobile insurance, under review.

Forthcoming

1. Zhang, P., Pitt, D., Wu, X. * A comparative analysis of several multivariate zero-inflated and zero-modified models with applications in insurance, Communications in Statistics - Theory and Methods, in press.

Journal Articles (*Corresponding author)

1. Gracianti, G., Zhou, R., Li, J. S., Wu, X. (2023) An assessment of model risk in pricing wind derivatives, Annals of Actuarial Science, 17(3), 479-502. (ABDC A)

2. Zhang, P., Calderin-Ojeda, E., Li, S., Wu, X.* (2023) Bayesian multivariate mixed Poisson models with copula-based mixture, North American Actuarial Journal, 27(3), 560-578. (SJR Q2; ABDC A)

3. Zhang, P.*, Wu, X. (2023) Multivariate Poisson model adjusting for unidirectional covariate misrepresentation, Statistics and Probability Letters, 197, 109837.

4. Osatakul, D., Li, S., Wu, X.* (2023) Discrete-time risk models with surplus-dependent premium corrections, Applied Mathematics and Computation, 437, 127495. (SCI; IF 4.397)

5. Wang, W., Wang, Y., Wu, X.*, Chen, P. (2022) Dividend and Capital Injection Optimization with Transaction Cost for Spectrally Negative Levy Risk Processes, Journal of Optimization Theory and Applications, 194(3), 924-965. (SCI, SCIE; ABDC A)

6. Zhang, P., Pitt, D., Wu, X.* (2022) A new multivariate zero-inflated hurdle model with applications in automobile insurance, ASTIN Bulletin: The Journal of the IAA, 52(2), 393-416. (SCIE, SSCI, ABDC A)

7. Wang, W., Wu, X.*, Chi, C (2021) Optimal implementation delay of taxation with trade-off for Levy risk processes, European Actuarial Journal, 11, 285-317. 

8. Osatakul, D., Wu, X.* (2021) Discrete-time risk models with claim correlated premiums in a Markovian environment, Risks 2021, 9(1), 26. 

9. Zhang, P., Calderin, E., Li, S., Wu, X.* (2020) On the Type I multivariate zero-truncated hurdle model with applications in health insurance, Insurance: Mathematics and Economics, 90, 35-45. (ABDC A*; SCI)

10. Wu, X., Lo, C.K., Yip, P.S.F.* (2019) A projection of future hospitalisation needs in a rapidly ageing society: A Hong Kong experience, International Journal of Environmental Research and Public Health 2019, 16, 473. (SCIE, SSCI, IF: 4.614)

11. Wu, X.*, Yuen, K.C., Zhang, P. (2018) Aggregate claim models with one-way and two-way dependence among individual claims, Statistics, Optimization and Information Computing, 6, September, 468-482. http://www.iapress.org/index.php/soic/article/view/soic.20180911/365

12. Wang, W.Y., Wu, X.*, Peng, X.C., Yuen, K.C. (2018) A note on joint occupation times of spectrally negative Levy risk processes with tax, Statistics and Probability Letters, 140, 13-22. (SCI)

13. Wat, K.P., Yuen, K.C., Li, W.K., Wu, X.* (2018) On the compound binomial risk model with delayed claims and randomized dividends, Risks 2018, 6, 6. 

14. Calderin, E.*, Fergusson, K., Wu, X. (2017) An EM Algorithm for Double-Pareto-Lognormal Generalized Linear Model Applied to Heavy-Tailed Insurance Claims, Risks 2017, 5, 60. 

15. Bai, L.*, Guo, J., Wu, X. (2017) Dynamic Stochastic Cooperative Reinsurance Strategy in a Continuous Time Model", SCIENTIA SINICA Mathematica, 47(3), 445-456.

16. Jin, C., Li, S., Wu, X.* (2016) "On the occupation times in a delayed Sparre Andersen risk model with exponential claims, Insurance: Mathematics and Economics, 71: pp. 304-316. (ABDC A*; SCI)

17. Wu, X.*, Chen, M., Guo, J., Jin, C. (2015) On a discrete-time risk model with claim correlated premiums, Annals of Actuarial Science, 9(2): 322-342. (ABDC A)

18. Liu, Q.*, Pitt, D., Wu, X. (2014) On the prediction of claim duration for income protection insurance policyholders, Annals of Actuarial Science, 8(1): 42-62. (ABDC A)

19. Chen, M., Guo, J.*, Wu, X. (2014) Expected discounted dividends in a discrete semi-Markov risk model, Journal of Computational and Applied Mathematics, 266: pp. 1-17. (SCI, SCIE; GS citations: 13)

20. Liu, Q., Pitt,  D., Wang, Y., Wu, X. (2013) Survival Analysis of Left Truncated Income Protection Insurance Data, Asia-Pacific Journal of Risk and Insurance, 7(1): pp.1 - 22.

21. Wu, X. (2013) Equilibrium distributions of discrete phase type, Stochastic Models, 29: pp. 240 - 257. (SCIE)

22. Wu, X.*, Li, S. (2012) On a discrete time risk model with time-delayed claims and a constant dividend barrier, Insurance Markets and Companies: Analysis and Actuarial Computations, 3(1): pp. 50 - 57. (GS citations: 33)

23. Siaw, K., Wu, X.*, Pitt, D., Wang, Y. (2011) Matrix-form Recursive Evaluation of the Aggregate Claims Distribution Revisited, Annals of Actuarial Science, 5(2): pp. 163 - 179. (ABDC A)

24. Liu, Q.*, Pitt, D., Zhang, X., Wu, X. (2011) A Bayesian Approach to Parameter Estimation for Kernel Density Estimation via Transformations, Annals of Actuarial Science, 5(2): pp. 181 - 193. (ABDC A; GS citations: 11)

25. Wu, X., Li, S.* (2010) Matrix-Form Recursions for a Family of Compound Distributions, ASTIN Bulletin: The Journal of the IAA, 40: pp. 351 - 368. (ABDC A; SCIE, SSCI)

26. Wu, X. (2010) Ruin probabilities for a risk model with two classes of risk processes, Australian Actuarial Journal, 16(1): pp. 87 - 108.

27. Yip, P.*, Pitt, D., Wang, Y., Wu, X., Watson, R., Huggins, R., Xu, Y. (2010) Assessing the Impact of Suicide Exclusion Periods on Life Insurance, Crisis: The Journal of Crisis Intervention and Suicide Prevention, 31(4): pp. 217 - 223. (SSCI, IF: 3.887, GS citations: 11)

28. Wu, X.*, Li, S. (2009) On the discounted penalty function in a discrete time renewal risk model with general interclaim times, Scandinavian Actuarial Journal, 109 (4): pp. 281 - 294. (SCI, GS citations: 32)

29. Beverage, C., Dickson, D.*, Wu, X. (2008) Optimal dividends under reinsurance, Bulletin of the Swiss Association of Actuaries, 2008 (2): pp. 149 - 166. (GS citations: 15)

30. Wu, X. (2008) Discussion of “The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model", North American Actuarial Journal, 12(4): pp. 425 - 427. (ABDC A)

31. Yuen, K.*, Guo, J., Wu, X. (2006) On the first time of ruin in the bivariate compound Poisson model, Insurance: Mathematics and Economics, 38(2): pp. 298 - 308. (ABDC A*; SCI, GS citations: 98)

32. Wu, X., Yuen, K.* (2003) On a discrete-time risk model with interaction between classes of business, Insurance: Mathematics and Economics, 33(1): pp. 117 - 133. (ABDC A*; SCI, GS citations: 57)

33. Yuen, K.*, Guo, J., Wu, X. (2002) On a correlated aggregate claims model with Poisson and Erlang risk Processes, Insurance: Mathematics and Economics, 31(2): pp. 205 - 214. (ABDC A*; SCI, GS citations: 159)

Conference Papers and Other Research Output

1. Wu, X., Li, S. (2008). "On a discrete-time Sparre Anderson model with phase-type claims", Centre for Actuarial Studies: the research paper series, No 169, University of Melbourne.

2. Wu, X., Yuen, K.C. (2004) “An interaction risk model with delayed claims”, The XXXV ASTIN Colloquium, 17 pages.

3. Yuen, K.C., Guo, J.Y., Wu, X. (2002) “Ruin probabilities for a correlated claims model”, Transactions of the 27th International Congress of Actuaries and the 33rd International ASTIN Colloquium, 15 pages.

Centre for Actuarial Studies Research Paper Series - research reports

1. C Jin, S Li, X Wu "On the Gerber-Shiu function involving the number of claims in a discrete time Sparre Andersen risk model with phase-type claims"(2015)

2. X Wu, M Chen, J Guo "On a discrete-time two level NCD risk model" (2014)

3. Q Liu, D Pitt, Y Wang, X Wu "Survival Analysis of Left Truncated Income Protection Insurance Data" (2012)

4. Q Liu, D Pitt, X Zhang, X Wu "A Bayesian approach to parameter estimation for kernel density estimation via transformations" (2011)

5. Xueyuan Wu "Ruin probabilities for a risk model with two classes of risk processes" (2010)

6. Kok Keng Siaw , Xueyuan Wu "Matrix-form Recursive Evaluation of the Aggregate Claims Distribution Revisited" (2010)

7. Xueyuan Wu, Shuanming Li "Matrix-form recursions for a family of compound distributions" (2009)

8. Paul Yip, David Pitt, Yan Wang, Tina Xu, Xueyuan Wu "Assessing the Impact of Suicide Exclusion Periods on Life Insurance" (2009)

9. Xueyuan Wu, Shuanming Li "On a Discrete-time Sparre Andersen Model with Phase-type Claims" (2008)

10. Christopher J. Beverage, David C M Dickson, Xueyuan Wu "Optimal Dividends Under Reinsurance" (2007)

11. Xueyuan Wu, Shuanming Li "On the discounted penalty function in a discrete time renewal risk model with general interclaim times" (2007)

12. Li, Xueyuan Wu "On a discrete time risk model with delayed claims and a constant dividend barrier" (2006)

13. Xueyuan Wu, Shuanming Li "On a discrete time risk model with delayed claims and a constant dividend barrier" (2006)