# Shuanming Li

## Personal Details

First Name: | Shuanming |

Middle Name: | |

Last Name: | Li |

Suffix: | |

RePEc Short-ID: | pli455 |

[This author has chosen not to make the email address public] | |

http://mercury.ecom.unimelb.edu.au/SITE/actwww/ActHome.shtml | |

## Research output

Jump to: Working papers Articles### Working papers

- Li, Shuanming & Garrido, José, 2002.
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**On the time value of ruin in the discrete time risk model**," DEE - Working Papers. Business Economics. WB wb021812, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

### Articles

- Li, Shuanming & Dickson, David C.M., 2006.
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**The maximum surplus before ruin in an Erlang(n) risk process and related problems**," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 529-539, June. - Li, Shuanming & Lu, Yi, 2005.
"
**On the expected discounted penalty functions for two classes of risk processes**," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 179-193, April. - Lu, Yi & Li, Shuanming, 2005.
"
**On the probability of ruin in a Markov-modulated risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 522-532, December. - Li, Shuanming & Garrido, Jose, 2004.
"
**On ruin for the Erlang(n) risk process**," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 391-408, June. - Li, Shuanming & Garrido, Jose, 2004.
"
**On a class of renewal risk models with a constant dividend barrier**," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 691-701, December.

## Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.### Working papers

- Li, Shuanming & Garrido, José, 2002.
"
**On the time value of ruin in the discrete time risk model**," DEE - Working Papers. Business Economics. WB wb021812, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.Cited by:

- Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2010.
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**An elementary approach to discrete models of dividend strategies**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 109-116, February. - Pavlova, Kristina P. & Willmot, Gordon E., 2004.
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**The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function**," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 267-277, October.

- Gerber, Hans U. & Shiu, Elias S.W. & Yang, Hailiang, 2010.
"

### Articles

- Li, Shuanming & Dickson, David C.M., 2006.
"
**The maximum surplus before ruin in an Erlang(n) risk process and related problems**," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 529-539, June.Cited by:

- Kim, Bara & Kim, Hwa-Sung & Kim, Jeongsim, 2008.
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**A risk model with paying dividends and random environment**," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 717-726, April. - Li, Shuanming & Lu, Yi, 2009.
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**The distribution of total dividend payments in a Sparre Andersen model**," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1246-1251, May. - Cheung, Eric C.K. & Landriault, David, 2010.
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**A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 127-134, February. - Li, Shuanming & Ren, Jiandong, 2013.
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**The maximum severity of ruin in a perturbed risk process with Markovian arrivals**," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 993-998. - Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D., 2009.
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**Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims**," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 470-484, December.

- Kim, Bara & Kim, Hwa-Sung & Kim, Jeongsim, 2008.
"
- Li, Shuanming & Lu, Yi, 2005.
"
**On the expected discounted penalty functions for two classes of risk processes**," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 179-193, April.Cited by:

- Liu, Guoxin & Wang, Ying, 2008.
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**On the expected discounted penalty function for the continuous-time compound binomial risk model**," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2446-2455, October. - Huang, Tao & Zhao, Ruiqing & Tang, Wansheng, 2009.
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**Risk model with fuzzy random individual claim amount**," European Journal of Operational Research, Elsevier, vol. 192(3), pages 879-890, February. - Morales, Manuel, 2007.
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**On the expected discounted penalty function for a perturbed risk process driven by a subordinator**," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 293-301, March. - Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D., 2009.
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**Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims**," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 470-484, December.

- Liu, Guoxin & Wang, Ying, 2008.
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- Lu, Yi & Li, Shuanming, 2005.
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**On the probability of ruin in a Markov-modulated risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 522-532, December.Cited by:

- Zhu, Jinxia & Yang, Hailiang, 2008.
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**Ruin theory for a Markov regime-switching model under a threshold dividend strategy**," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 311-318, February. - Boudreault, Mathieu & Cossette, Hélène & Marceau, Étienne, 2014.
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**Risk models with dependence between claim occurrences and severities for Atlantic hurricanes**," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 123-132. - Shao, Jia & Papaioannou, Apostolos D. & Pantelous, Athanasios A., 2017.
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**Pricing and simulating catastrophe risk bonds in a Markov-dependent environment**," Applied Mathematics and Computation, Elsevier, vol. 309(C), pages 68-84. - Ivanovs, Jevgenijs & Boxma, Onno & Mandjes, Michel, 2010.
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**Singularities of the matrix exponent of a Markov additive process with one-sided jumps**," Stochastic Processes and their Applications, Elsevier, vol. 120(9), pages 1776-1794, August. - Wang, Guanqing & Wang, Guojing & Yang, Hailiang, 2016.
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**On a multi-dimensional risk model with regime switching**," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 73-83. - Sotomayor, Luz R. & Cadenillas, Abel, 2011.
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**Classical and singular stochastic control for the optimal dividend policy when there is regime switching**," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 344-354, May.

- Zhu, Jinxia & Yang, Hailiang, 2008.
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- Li, Shuanming & Garrido, Jose, 2004.
"
**On ruin for the Erlang(n) risk process**," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 391-408, June.Cited by:

- Tsai, Cary Chi-Liang & Sun, Li-juan, 2004.
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**On the discounted distribution functions for the Erlang(2) risk process**," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 5-19, August. - Lin, X. Sheldon & Sendova, Kristina P., 2008.
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**The compound Poisson risk model with multiple thresholds**," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 617-627, April. - Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016.
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**On the occupation times in a delayed Sparre Andersen risk model with exponential claims**," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 304-316. - Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005.
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**On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times**," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 324-334, October. - Ng, Andrew C.Y. & Yang, Hailiang, 2006.
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**On the joint distribution of surplus before and after ruin under a Markovian regime switching model**," Stochastic Processes and their Applications, Elsevier, vol. 116(2), pages 244-266, February. - Willmot, Gordon E. & Woo, Jae-Kyung, 2010.
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**Surplus analysis for a class of Coxian interclaim time distributions with applications to mixed Erlang claim amounts**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 32-41, February. - Lin, X.Sheldon & Pavlova, Kristina P., 2006.
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**The compound Poisson risk model with a threshold dividend strategy**," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 57-80, February. - Yang, Hu & Zhang, Zhimin, 2009.
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**The perturbed compound Poisson risk model with multi-layer dividend strategy**," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 70-78, January. - Landriault, David & Willmot, Gordon, 2008.
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**On the Gerber-Shiu discounted penalty function in the Sparre Andersen model with an arbitrary interclaim time distribution**," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 600-608, April. - Albrecher, Hansjörg & Constantinescu, Corina & Pirsic, Gottlieb & Regensburger, Georg & Rosenkranz, Markus, 2010.
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**An algebraic operator approach to the analysis of Gerber-Shiu functions**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 42-51, February. - Li, Shuanming & Lu, Yi, 2009.
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**The distribution of total dividend payments in a Sparre Andersen model**," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1246-1251, May. - Sun, Li-Juan, 2005.
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**The expected discounted penalty at ruin in the Erlang (2) risk process**," Statistics & Probability Letters, Elsevier, vol. 72(3), pages 205-217, May. - Ambagaspitiya, Rohana S., 2009.
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**Ultimate ruin probability in the Sparre Andersen model with dependent claim sizes and claim occurrence times**," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 464-472, June. - Cossette, Hélène & Marceau, Etienne & Marri, Fouad, 2008.
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**On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula**," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 444-455, December. - Chi, Yichun & Lin, X. Sheldon, 2011.
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**On the threshold dividend strategy for a generalized jump-diffusion risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May. - Woo, Jae-Kyung & Cheung, Eric C.K., 2013.
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**A note on discounted compound renewal sums under dependency**," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 170-179. - Li, Shuanming & Garrido, Jose, 2004.
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**On a class of renewal risk models with a constant dividend barrier**," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 691-701, December. - Dickson, David C.M. & Li, Shuanming, 2013.
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**The distributions of the time to reach a given level and the duration of negative surplus in the Erlang(2) risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 490-497. - Huang, Tao & Zhao, Ruiqing & Tang, Wansheng, 2009.
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**Risk model with fuzzy random individual claim amount**," European Journal of Operational Research, Elsevier, vol. 192(3), pages 879-890, February. - Zhou, Ming & Cai, Jun, 2009.
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**A perturbed risk model with dependence between premium rates and claim sizes**," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 382-392, December. - Zhang, Zhimin & Yang, Hu, 2010.
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**A generalized penalty function in the Sparre-Andersen risk model with two-sided jumps**," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 597-607, April. - Cheung, Eric C.K. & Landriault, David & Willmot, Gordon E. & Woo, Jae-Kyung, 2010.
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**Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 117-126, February. - Cheung, Eric C.K., 2013.
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**Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times**," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 343-354. - Feng, Runhuan, 2009.
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**On the total operating costs up to default in a renewal risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 305-314, October. - Yang, Hu & Zhang, Zhimin, 2008.
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**Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy**," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 984-991, June. - Zhou, Zhongbao & Xiao, Helu & Deng, Yingchun, 2015.
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**Markov-dependent risk model with multi-layer dividend strategy**," Applied Mathematics and Computation, Elsevier, vol. 252(C), pages 273-286. - Ahn, Soohan & Badescu, Andrei L., 2007.
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**On the analysis of the Gerber-Shiu discounted penalty function for risk processes with Markovian arrivals**," Insurance: Mathematics and Economics, Elsevier, vol. 41(2), pages 234-249, September. - Landriault, David, 2008.
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**Constant dividend barrier in a risk model with interclaim-dependent claim sizes**," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 31-38, February. - Willmot, Gordon E. & Woo, Jae-Kyung, 2012.
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**On the analysis of a general class of dependent risk processes**," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 134-141. - Huynh, Mirabelle & Landriault, David & Shi, Tianxiang & Willmot, Gordon E., 2015.
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**On a risk model with claim investigation**," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 37-45. - Li, Shuanming & Dickson, David C.M., 2006.
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**The maximum surplus before ruin in an Erlang(n) risk process and related problems**," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 529-539, June. - Dickson, David C.M. & Li, Shuanming, 2010.
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**Finite time ruin problems for the Erlang(2) risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 12-18, February. - Yao, Kai & Qin, Zhongfeng, 2015.
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**A modified insurance risk process with uncertainty**," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 227-233. - Li, Shuanming & Lu, Yi, 2005.
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**On the expected discounted penalty functions for two classes of risk processes**," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 179-193, April. - Anna Castañer & M. Claramunt & Maite Mármol, 2012.
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**Ruin probability and time of ruin with a proportional reinsurance threshold strategy**," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October. - Eric C.K. Cheung & Haibo Liu & Jae-Kyung Woo, 2015.
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**On the Joint Analysis of the Total Discounted Payments to Policyholders and Shareholders: Dividend Barrier Strategy**," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-24, November. - Albrecher, Hansjorg & Boxma, Onno J., 2005.
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**On the discounted penalty function in a Markov-dependent risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 650-672, December. - Wong, Jeff T.Y. & Cheung, Eric C.K., 2015.
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**On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps**," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 280-290. - Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D., 2009.
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**Analysis of the Gerber-Shiu function and dividend barrier problems for a risk process with two classes of claims**," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 470-484, December.

- Tsai, Cary Chi-Liang & Sun, Li-juan, 2004.
"
- Li, Shuanming & Garrido, Jose, 2004.
"
**On a class of renewal risk models with a constant dividend barrier**," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 691-701, December.Cited by:

- Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016.
"
**On the occupation times in a delayed Sparre Andersen risk model with exponential claims**," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 304-316. - Lu, Yi & Li, Shuanming, 2009.
"
**The Markovian regime-switching risk model with a threshold dividend strategy**," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 296-303, April. - Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005.
"
**On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times**," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 324-334, October. - Liu, Zaiming & Li, Manman & Ameer, Sherbaz, 2009.
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**Methods for estimating optimal Dickson and Waters modification dividend barrier**," Economic Modelling, Elsevier, vol. 26(5), pages 886-892, September. - Maite Teresa Marmol Jimenez & M. Mercedes Claramunt Bielsa, 2006.
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**Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier**," Working Papers in Economics 157, Universitat de Barcelona. Espai de Recerca en Economia. - Lin, X.Sheldon & Pavlova, Kristina P., 2006.
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**The compound Poisson risk model with a threshold dividend strategy**," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 57-80, February. - Eckert, Johanna & Gatzert, Nadine, 2018.
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**Risk- and value-based management for non-life insurers under solvency constraints**," European Journal of Operational Research, Elsevier, vol. 266(2), pages 761-774. - Yuen, Kam C. & Wang, Guojing & Li, Wai K., 2007.
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**The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier**," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 104-112, January. - Geng, Xianmin & Wang, Ying, 2012.
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**The compound Pascal model with dividends paid under random interest**," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1331-1336. - Feng, Runhuan, 2009.
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**On the total operating costs up to default in a renewal risk model**," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 305-314, October. - Yang, Hu & Zhang, Zhimin, 2008.
"
**Gerber-Shiu discounted penalty function in a Sparre Andersen model with multi-layer dividend strategy**," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 984-991, June. - Cheung, Eric C.K., 2011.
"
**A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium**," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 384-397, May. - Li, Shu & Landriault, David & Lemieux, Christiane, 2015.
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**A risk model with varying premiums: Its risk management implications**," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 38-46. - Landriault, David, 2008.
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**Constant dividend barrier in a risk model with interclaim-dependent claim sizes**," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 31-38, February. - Xie, Jie-hua & Zou, Wei, 2010.
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**Expected present value of total dividends in a delayed claims risk model under stochastic interest rates**," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 415-422, April. - Shi, Yafeng & Liu, Peng & Zhang, Chunsheng, 2013.
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**On the compound Poisson risk model with dependence and a threshold dividend strategy**," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1998-2006. - Li, Shuanming & Dickson, David C.M., 2006.
"
**The maximum surplus before ruin in an Erlang(n) risk process and related problems**," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 529-539, June. - Yao, Kai & Qin, Zhongfeng, 2015.
"
**A modified insurance risk process with uncertainty**," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 227-233. - Tang, Qihe & Wei, Li, 2010.
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**Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence**," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 19-31, February. - Chadjiconstantinidis, Stathis & Papaioannou, Apostolos D., 2009.
"

- Jin, Can & Li, Shuanming & Wu, Xueyuan, 2016.
"

## More information

Research fields, statistics, top rankings, if available.### Statistics

#### Access and download statistics for all items

### NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (1) 2003-03-10

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