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Author ID: shiu.elias-s-w Recent zbMATH articles by "Shiu, Elias S. W."
Published as: Shiu, Elias S. W.; Shiu, E. S. W.; Shiu, Elias
Documents Indexed: 68 Publications since 1976
1 Contribution as Editor
Reviewing Activity: 78 Reviews
Co-Authors: 16 Co-Authors with 51 Joint Publications
354 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

51 Publications have been cited 1,530 times in 1,013 Documents Cited by Year
On the time value of ruin. With discussion and a reply by the authors. Zbl 1081.60550
Gerber, Hans U.; Shiu, Elias S. W.
387
1998
Optimal dividends: analysis with Brownian motion. Zbl 1085.62122
Gerber, Hans U.; Shiu, Elias S. W.
151
2004
The time value of ruin in a Sparre Andersen model. With discussion and a reply by the authors. Zbl 1085.62508
Gerber, Hans U.; Shiu, Elias S. W.
120
2005
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Zbl 0894.90047
Gerber, Hans U.; Shiu, Elias S. W.
113
1997
Optimal dividends in the dual model. Zbl 1131.91026
Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W.
92
2007
Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112
Gerber, Hans U.; Shiu, Elias S. W.
59
1996
Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063
Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W.
54
2000
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
48
2011
On optimal dividends: from reflection to refraction. Zbl 1089.91023
Gerber, Hans U.; Shiu, Elias S. W.
44
2006
Valuing equity-linked death benefits and other contingent options: a discounted density approach. Zbl 1284.91233
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
30
2012
Martingale approach to pricing perpetual American options on two stocks. Zbl 0919.90009
Gerber, Hans U.; Shiu, Elias S. W.
29
1996
From ruin theory to pricing reset guarantees and perpetual put options. Zbl 0939.91065
Gerber, Hans U.; Shiu, Elias S. W.
27
1999
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
26
2012
Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
25
2013
Maximizing dividends without bankruptcy. Zbl 1162.91375
Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel
23
2006
Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507
Gerber, Hans U.; Shiu, Elias S. W.
23
2003
Geometric Brownian motion models for assets and liabilities: from pension funding to optimal dividends. With discussion by X. Sheldon Lin, Marc Decamps and Marc Goovaerts and a reply by the authors. Zbl 1084.91517
Gerber, Hans U.; Shiu, Elias S. W.
23
2003
Pricing perpetual options for jump processes. With discussion by X. Sheldon Lin and Xiaolan Zhang and a reply by the authors. Zbl 1081.91528
Gerber, Hans U.; Shiu, Elias S. W.
23
1998
Methods for estimating the optimal dividend barrier and the probability of ruin. Zbl 1141.91513
Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel
21
2008
Pricing perpetual fund protection with withdrawal option (With discussion and a reply by the authors). Zbl 1084.60512
Gerber, Hans U.; Shiu, Elias S. W.
19
2003
Calculation of the probability of eventual ruin by Beekman’s convolution series. Zbl 0664.62112
Shiu, Elias S. W.
18
1988
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60545
Gerber, Hans U.; Shiu, Elias S. W.
16
2003
Immunization of multiple liabilities. Zbl 0666.62101
Shiu, Elias S. W.
14
1988
On Redington’s theory of immunization. Zbl 0721.62104
Shiu, Elias S. W.
14
1990
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60546
Gerber, Hans U.; Shiu, Elias S. W.
14
2003
On the Fisher-Weil immunization theorem. Zbl 0633.62109
Shiu, Elias S. W.
13
1987
Investing for retirement: optimal capital growth and dynamic asset allocation. With discussion by Phelim P. Boyle and Gérard Pafumi and a reply by the authors. Zbl 1083.91517
Gerber, Hans U.; Shiu, Elias S. W.
12
2000
An elementary approach to discrete models of dividend strategies. Zbl 1231.91433
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
11
2010
Pricing maturity guarantee with dynamic withdrawal benefit. Zbl 1231.91437
Ko, Bangwon; Shiu, Elias S. W.; Wei, Li
8
2010
On optimal dividend strategies in the compound Poisson model. Zbl 1479.91323
Gerber, Hans U.; Shiu, Elias S. W.
8
2006
Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Zbl 1348.91269
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
7
2015
Convolution of uniform distributions and ruin probability. Zbl 0639.62090
Shiu, Elias S. W.
6
1987
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2019
Stochastic models for bond prices, function space integrals and immunization theory. Zbl 0685.62085
Beekman, John A.; Shiu, Elias S. W.
5
1988
“Pricing dynamic investment fund protection,” Hans U. Gerber and Gérard Pafumi, April 2000. Zbl 1083.91542
Huang, Ya-Chun; Shiu, Elias S. W.
5
2001
Evaluation of the GIC rollover option. Zbl 0809.90029
Pedersen, Hal W.; Shiu, Elias S. W.
4
1994
Ruin probability by operational calculus. Zbl 0687.62089
Shiu, Elias S. W.
4
1989
“Application of coherent risk measures to capital requirements in insurance” by Philippe Artzner, April 1999 (Discussion). Zbl 1083.91553
Shiu, Elias S. W.
4
2000
Pricing financial contracts with indexed homogeneous payoff. Zbl 0816.90012
Gerber, Hans U.; Shiu, Elias S. W.
3
1994
Cyclically monotone linear operators. Zbl 0308.47005
Shiu, Elias S. W.
3
1976
Moments of two distributions in collective risk theory. Zbl 0373.62064
Shiu, Elias S. W.
3
1977
Steffensen’s poweroids. Zbl 0509.39008
Shiu, Elias S. W.
2
1982
Growth of numerical ranges of powers of Hilbert space operators. Zbl 0339.47001
Shiu, Elias S. W.
2
1976
Non-uniqueness of option prices. Zbl 0709.62504
Gerber, Hans U.; Shiu, Elias S. W.
2
1988
Crossing time of annuities with exponential payment rates. Zbl 1333.91027
Gerber, H. U.; Shiu, E. S. W.; Yang, H.
2
2009
Numerical ranges of products and tensor products. Zbl 0383.47004
Shiu, Elias S. W.
2
1978
Indicator function and Hattendorff theorem. Zbl 1084.62529
Gerber, Hans U.; Leung, Bartholomew P. K.; Shiu, Elias S. W.
2
2003
Discussion on: “A general semi-Markov model for coupled lifetimes”. Zbl 1454.91187
Gerber, Hans U.; Shiu, Elias S. W.
1
2020
From perpetual strangles to Russian options. Zbl 0822.60042
Gerber, Hans U.; Shiu, Elias S. W.
1
1994
Credibility theory and geometry. Zbl 1181.91105
Shiu, Elias S. W.; Sing, Fuk Yum
1
2004
“Enterprise risk and return management for financial institutions” by Mark Griffin and Rick Boomgaardt, April 1999 (Discussion). Zbl 1083.91554
Shiu, Elias S. W.
1
2000
Discussion on: “A general semi-Markov model for coupled lifetimes”. Zbl 1454.91187
Gerber, Hans U.; Shiu, Elias S. W.
1
2020
A constraint-free approach to optimal reinsurance. Zbl 1418.91238
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
5
2019
Geometric stopping of a random walk and its applications to valuing equity-linked death benefits. Zbl 1348.91269
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
7
2015
Valuing equity-linked death benefits in jump diffusion models. Zbl 1290.91162
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
25
2013
Valuing equity-linked death benefits and other contingent options: a discounted density approach. Zbl 1284.91233
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
30
2012
The Omega model: from bankruptcy to occupation times in the red. Zbl 1256.91057
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
26
2012
The optimal dividend barrier in the gamma-omega model. Zbl 1219.91062
Albrecher, Hansjörg; Gerber, Hans U.; Shiu, Elias S. W.
48
2011
An elementary approach to discrete models of dividend strategies. Zbl 1231.91433
Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang
11
2010
Pricing maturity guarantee with dynamic withdrawal benefit. Zbl 1231.91437
Ko, Bangwon; Shiu, Elias S. W.; Wei, Li
8
2010
Crossing time of annuities with exponential payment rates. Zbl 1333.91027
Gerber, H. U.; Shiu, E. S. W.; Yang, H.
2
2009
Methods for estimating the optimal dividend barrier and the probability of ruin. Zbl 1141.91513
Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel
21
2008
Optimal dividends in the dual model. Zbl 1131.91026
Avanzi, Benjamin; Gerber, Hans U.; Shiu, Elias S. W.
92
2007
On optimal dividends: from reflection to refraction. Zbl 1089.91023
Gerber, Hans U.; Shiu, Elias S. W.
44
2006
Maximizing dividends without bankruptcy. Zbl 1162.91375
Gerber, Hans U.; Shiu, Elias S. W.; Smith, Nathaniel
23
2006
On optimal dividend strategies in the compound Poisson model. Zbl 1479.91323
Gerber, Hans U.; Shiu, Elias S. W.
8
2006
The time value of ruin in a Sparre Andersen model. With discussion and a reply by the authors. Zbl 1085.62508
Gerber, Hans U.; Shiu, Elias S. W.
120
2005
Optimal dividends: analysis with Brownian motion. Zbl 1085.62122
Gerber, Hans U.; Shiu, Elias S. W.
151
2004
Credibility theory and geometry. Zbl 1181.91105
Shiu, Elias S. W.; Sing, Fuk Yum
1
2004
Pricing lookback options and dynamic guarantees. With discussion by Griselda Deelstra. Zbl 1084.91507
Gerber, Hans U.; Shiu, Elias S. W.
23
2003
Geometric Brownian motion models for assets and liabilities: from pension funding to optimal dividends. With discussion by X. Sheldon Lin, Marc Decamps and Marc Goovaerts and a reply by the authors. Zbl 1084.91517
Gerber, Hans U.; Shiu, Elias S. W.
23
2003
Pricing perpetual fund protection with withdrawal option (With discussion and a reply by the authors). Zbl 1084.60512
Gerber, Hans U.; Shiu, Elias S. W.
19
2003
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60545
Gerber, Hans U.; Shiu, Elias S. W.
16
2003
“Moments of the surplus before ruin and the deficit at ruin in the Erlang(2) risk process” by Y. Cheng and Q. Tang (discussion). Zbl 1084.60546
Gerber, Hans U.; Shiu, Elias S. W.
14
2003
Indicator function and Hattendorff theorem. Zbl 1084.62529
Gerber, Hans U.; Leung, Bartholomew P. K.; Shiu, Elias S. W.
2
2003
“Pricing dynamic investment fund protection,” Hans U. Gerber and Gérard Pafumi, April 2000. Zbl 1083.91542
Huang, Ya-Chun; Shiu, Elias S. W.
5
2001
Discounted probabilities and ruin theory in the compound binomial model. Zbl 1013.91063
Cheng, Shixue; Gerber, Hans U.; Shiu, Elias S. W.
54
2000
Investing for retirement: optimal capital growth and dynamic asset allocation. With discussion by Phelim P. Boyle and Gérard Pafumi and a reply by the authors. Zbl 1083.91517
Gerber, Hans U.; Shiu, Elias S. W.
12
2000
“Application of coherent risk measures to capital requirements in insurance” by Philippe Artzner, April 1999 (Discussion). Zbl 1083.91553
Shiu, Elias S. W.
4
2000
“Enterprise risk and return management for financial institutions” by Mark Griffin and Rick Boomgaardt, April 1999 (Discussion). Zbl 1083.91554
Shiu, Elias S. W.
1
2000
From ruin theory to pricing reset guarantees and perpetual put options. Zbl 0939.91065
Gerber, Hans U.; Shiu, Elias S. W.
27
1999
On the time value of ruin. With discussion and a reply by the authors. Zbl 1081.60550
Gerber, Hans U.; Shiu, Elias S. W.
387
1998
Pricing perpetual options for jump processes. With discussion by X. Sheldon Lin and Xiaolan Zhang and a reply by the authors. Zbl 1081.91528
Gerber, Hans U.; Shiu, Elias S. W.
23
1998
The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. Zbl 0894.90047
Gerber, Hans U.; Shiu, Elias S. W.
113
1997
Actuarial bridges to dynamic hedging and option pricing. Zbl 0896.62112
Gerber, Hans U.; Shiu, Elias S. W.
59
1996
Martingale approach to pricing perpetual American options on two stocks. Zbl 0919.90009
Gerber, Hans U.; Shiu, Elias S. W.
29
1996
Evaluation of the GIC rollover option. Zbl 0809.90029
Pedersen, Hal W.; Shiu, Elias S. W.
4
1994
Pricing financial contracts with indexed homogeneous payoff. Zbl 0816.90012
Gerber, Hans U.; Shiu, Elias S. W.
3
1994
From perpetual strangles to Russian options. Zbl 0822.60042
Gerber, Hans U.; Shiu, Elias S. W.
1
1994
On Redington’s theory of immunization. Zbl 0721.62104
Shiu, Elias S. W.
14
1990
Ruin probability by operational calculus. Zbl 0687.62089
Shiu, Elias S. W.
4
1989
Calculation of the probability of eventual ruin by Beekman’s convolution series. Zbl 0664.62112
Shiu, Elias S. W.
18
1988
Immunization of multiple liabilities. Zbl 0666.62101
Shiu, Elias S. W.
14
1988
Stochastic models for bond prices, function space integrals and immunization theory. Zbl 0685.62085
Beekman, John A.; Shiu, Elias S. W.
5
1988
Non-uniqueness of option prices. Zbl 0709.62504
Gerber, Hans U.; Shiu, Elias S. W.
2
1988
On the Fisher-Weil immunization theorem. Zbl 0633.62109
Shiu, Elias S. W.
13
1987
Convolution of uniform distributions and ruin probability. Zbl 0639.62090
Shiu, Elias S. W.
6
1987
Steffensen’s poweroids. Zbl 0509.39008
Shiu, Elias S. W.
2
1982
Numerical ranges of products and tensor products. Zbl 0383.47004
Shiu, Elias S. W.
2
1978
Moments of two distributions in collective risk theory. Zbl 0373.62064
Shiu, Elias S. W.
3
1977
Cyclically monotone linear operators. Zbl 0308.47005
Shiu, Elias S. W.
3
1976
Growth of numerical ranges of powers of Hilbert space operators. Zbl 0339.47001
Shiu, Elias S. W.
2
1976
all top 5

Cited by 907 Authors

44 Yang, Hailiang
39 Gerber, Hans U.
39 Shiu, Elias S. W.
39 Zhang, Zhimin
35 Li, Shuanming
34 Cheung, Eric C. K.
31 Willmot, Gordon E.
29 Yin, Chuancun
28 Landriault, David
25 Wu, Rong
23 Albrecher, Hansjörg
17 Jin, Zhuo
16 Yang, Hu
15 Lu, Yi
15 Palmowski, Zbigniew
15 Sendova, Kristina P.
15 Wang, Guojing
15 Woo, Jae-Kyung
15 Zhou, Xiaowen
14 Yuen, Kam Chuen
13 Dickson, David C. M.
13 Wang, Rongming
12 Lin, X. Sheldon
12 Siu, Tak Kuen
12 Tsai, Cary Chi-Liang
11 Avanzi, Benjamin
11 Badescu, Andrei L.
11 Dong, Yinghui
11 Feng, Runhuan
11 Frostig, Esther
11 Hu, Yijun
11 Lefèvre, Claude
11 Zhang, Chunsheng
10 Cai, Jun
10 Wong, Bernard
9 Bao, Zhenhua
9 Guo, Junyi
9 Renaud, Jean-François
9 Yang, Xiangqun
9 Yu, Wenguang
9 Zhou, Ming
8 Czarna, Irmina
8 Kyprianou, Andreas E.
8 Wang, Wenyuan
8 Yin, Gang George
8 Young, Virginia R.
7 Breuer, Lothar
7 Chen, Ping
7 Goovaerts, Marc J.
7 He, Jingmin
7 Li, Zhongfei
7 Liu, Zaiming
7 Qian, Linyi
7 Shi, Tianxiang
7 Tan, Jiyang
7 Xie, Jiehua
7 Yao, Dingjun
7 Zeng, Yan
7 Zhao, Yongxia
7 Zou, Wei
6 Avram, Florin
6 Boxma, Onno Johan
6 Constantinescu, Corina D.
6 Dong, Hua
6 Drekic, Steve
6 Marceau, Étienne
6 Meng, Hui
6 Morales, Manuel
6 Ng, Andrew Cheuk-Yin
6 Ren, Jiandong
6 Schmidli, Hanspeter
6 Su, Wen
6 Wei, Li
6 Wen, Yuzhen
6 Yamazaki, Kazutoshi
5 Bayraktar, Erhan
5 Chen, Mi
5 Chen, Shumin
5 Egídio dos Reis, Alfredo D.
5 Gajek, Lesław
5 Huang, Yujuan
5 Ivanovs, Jevgeņijs
5 Lee, Hangsuck
5 Liang, Zhibin
5 Liu, Guoxin
5 Pérez Garmendia, Jose Luis
5 Picard, Philippe
5 Politis, Konstadinos
5 Shimizu, Yasutaka
5 Šiaulys, Jonas
5 Tang, Qihe
5 Wang, Wei
5 Wang, Wei
5 Wu, Lan
5 Xu, Lin
5 Zhu, Jinxia
4 Ben Salah, Zied
4 Cossette, Hélène
4 Fang, Ying
4 Gan, Guojun
...and 807 more Authors
all top 5

Cited in 131 Serials

253 Insurance Mathematics & Economics
82 North American Actuarial Journal
65 Scandinavian Actuarial Journal
49 Journal of Computational and Applied Mathematics
32 Statistics & Probability Letters
26 Methodology and Computing in Applied Probability
25 Applied Mathematics and Computation
25 Communications in Statistics. Theory and Methods
23 Journal of Applied Probability
21 Acta Mathematicae Applicatae Sinica. English Series
20 European Actuarial Journal
19 Stochastic Models
19 ASTIN Bulletin
19 Journal of Industrial and Management Optimization
15 Advances in Applied Probability
14 Applied Stochastic Models in Business and Industry
12 European Journal of Operational Research
10 Stochastic Processes and their Applications
10 Applied Mathematics. Series B (English Edition)
10 Journal of the Korean Statistical Society
9 The Annals of Applied Probability
9 Frontiers of Mathematics in China
8 Journal of Optimization Theory and Applications
8 Finance and Stochastics
8 Acta Mathematica Sinica. English Series
7 Mathematical Problems in Engineering
7 Abstract and Applied Analysis
6 Mathematical Methods of Operations Research
6 Journal of Systems Science and Complexity
5 Lithuanian Mathematical Journal
5 Scandinavian Actuarial Journal
5 Stochastic Analysis and Applications
5 Annals of Operations Research
5 Applied Mathematical Finance
5 Modern Stochastics. Theory and Applications
4 Journal of Mathematical Analysis and Applications
4 Blätter (Deutsche Gesellschaft für Versicherungsmathematik)
4 Journal of Economic Dynamics & Control
4 Mathematical and Computer Modelling
4 Queueing Systems
4 Mathematical Finance
4 Discrete Dynamics in Nature and Society
4 International Journal of Theoretical and Applied Finance
4 Quantitative Finance
4 Advances in Difference Equations
4 Stochastics
4 SIAM Journal on Financial Mathematics
3 Moscow University Mathematics Bulletin
3 Theory of Probability and its Applications
3 SIAM Journal on Control and Optimization
3 Probability and Mathematical Statistics
3 Probability in the Engineering and Informational Sciences
3 Journal of Applied Mathematics
3 Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik)
2 Applied Mathematics and Optimization
2 Automatica
2 Mathematics of Operations Research
2 Operations Research Letters
2 Bulletin of the Iranian Mathematical Society
2 Communications in Statistics. Simulation and Computation
2 Cybernetics and Systems Analysis
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Lobachevskii Journal of Mathematics
2 Journal of Applied Mathematics and Computing
2 Journal of Statistical Theory and Practice
2 Electronic Journal of Statistics
2 Annals of Finance
2 Mathematical Control and Related Fields
2 Dependence Modeling
1 Biological Cybernetics
1 Computers & Mathematics with Applications
1 Indian Journal of Pure & Applied Mathematics
1 Israel Journal of Mathematics
1 Mathematical Methods in the Applied Sciences
1 Periodica Mathematica Hungarica
1 Ukrainian Mathematical Journal
1 Canadian Mathematical Bulletin
1 Integral Equations and Operator Theory
1 Journal of Econometrics
1 Operations Research
1 Opsearch
1 Results in Mathematics
1 Tôhoku Mathematical Journal. Second Series
1 Moscow University Computational Mathematics and Cybernetics
1 Journal of Information & Optimization Sciences
1 Applied Mathematics and Mechanics. (English Edition)
1 Chinese Annals of Mathematics. Series B
1 Optimization
1 Journal of Theoretical Probability
1 Journal of Applied Mathematics and Stochastic Analysis
1 Computational Mathematics and Modeling
1 Computational Mathematics and Mathematical Physics
1 Applied Mathematical Modelling
1 International Journal of Computer Mathematics
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Indagationes Mathematicae. New Series
1 International Journal of Robust and Nonlinear Control
1 Potential Analysis
1 Computational Economics
1 SIAM Journal on Scientific Computing
...and 31 more Serials

Citations by Year