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Faculty Research

Faculty members of the actuarial science program are continually engaged in research to create new knowledge and to bring these innovations in the classroom. Here we list the latest publications and works of our faculty and adjuncts.

Cohen, A. (2010) "Examples of optimal prediction in the infinite horizon case," Statistics and Probability Letters, vol. 80, no. 11-12, pp. 950-957.

Hong, H., Zhou, J. (2013) "A multi-index model for quantile regression with ordinal data," Journal of Applied Statistics, vol. 40, no. 6, pp. 1231-1245.

He, X., Wang, L., Hong, H. (2013) "Quantile adaptive model-free variable screening for high-dimensional heterogeneous data," Annals of Statistics, vol. 41, no. 1, pp. 342-369.

Hong, H. (2013) "The quantile approach to the power transformed location-scale model," Computational Statistics and Data Analysis, vol. 63(C), pp. 50-62.

Hong, H., Yue, Y.,  Ghosh, P. (2014+) "Bayesian estimation of long-term health consequences of obese and normal-weight elderly," Journal of the Royal Statistical Society (A), accepted for publication.

Hong, H., Roychoudhury, S., Ghosh, P. (2014+) "The joint assessment of longitudinal multidimensional functionings in overweight and obese elderly with a time varying covariates," Statistics and Its Interface, in press.

Hong, H., Wang, C.,Douglas, J. (2014+) "A hybrid cognitive diagnosis and IRT model for latent variables of mixed granularity," Applied Psychological Measurement, in press.

Schroder, M., Sinha, S., Levental, S. (2014) "Linked Recursive Preferences and Optimality," Mathematical Finance, forthcoming.

Schroder, M., Sinha, S., Levental, S. (2013) "A Simple Proof of Functional Itô’s Lemma for Semimartingales with an Application," Statistics and Probability Letters, vol. 83, pp. 2019-2026.

Schroder, M., Khanna, N. (2010) "Optimal Debt Contracts and Product Market Competition with Replacement," Journal of Economic Theory, vol. 145, pp. 156–188.

Shi, P., Zhang, W., Valdez, E.A. (2012) "Testing adverse selection with two-dimensional information: evidence from Singapore auto insurance market," Journal of Risk and Insurance, vol. 79, no. 1, pp. 1-28.

Shi, P., Valdez, E.A. (2014) "Longitudinal modeling of insurance claim counts with jitters," Scandinavian Actuarial Journal, vol. 2014, no. 2, pp. 159-179.

Shi, P., Valdez, E.A. (2014) "Multivariate negative binomial models for insurance claim counts," Insurance: Mathematics and Economics, vol. 55, pp. 18-29.

Xiao, Y., Valdez, E.A. (2013) "A Black-Litterman asset allocation model under Elliptical distributions," Quantitative Finance, forthcoming.

Valdez, E.A. (2014) "Empirical investigation of insurance claim dependencies using mixture models," European Actuarial Journal, forthcoming.

Li, H., Mason, D.E., Bieler, T.R., Boehlert, C.J., Crimp, M.A. (2013), "Methodology for estimating the critical resolved shear stress ratios in alpha-phase Ti using EBSD based trace analysis," Acta Materialia, vol. 61, pp. 7555-7567.

Li, H., Mason, D.E., Yang, Y., Bieler, T.R., Crimp, M.A., Boehlert, C.J. (2013), "Comparison of the deformation behavior of commercially pure titanium and Ti-5Al-2.5Sn (wt.%) at 296 and 728K," Philosophical Magazine, vol. 93, no. 21, pp. 2875-2895.

Khoshnevisan D., Xiao Y. (2014), "Brownian motion and thermal capacity," Ann. Probab., to appear.

Meerschaert M.M., Wang W., Xiao Y. (2013), "Fernique-type inequalities and moduli of continuity of anisotropic Gaussian random fields," Trans. Amer. Math. Soc., vol. 365, pp. 1081-1107.