86 citations · 104 across the 11 of their papers we have counts for
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math.PR2015
Pricing variable annuities with multi-layer expense strategy
Jiang Zhou, Lan Wu
We study the problem of pricing variable annuities with a multi-layer expense strategy, under which the insurer charges fees from the policyholder's account only when the account v…
math.PR2015
Occupation times of refracted Levy processes with jumps having rational Laplace transforms
Lan Wu, Jiang Zhou
We investigate a refracted Levy process driven by a jump diffusion process, whose jumps have rational Laplace transforms. For such a stochastic process, formulas for the Laplace tr…