Publications

Journal Articles (peer reviewed)

Tu C.-Y., Chang S.-C., “Estimation of Reinvestment Risk of International Bonds.” Review of Securities and Future Markets, vol. 33, no. 4, pp. 77–102, 2021. (TSSCI)

Chang S.-C., Tu C.-Y., “Dynamic Hedging of Options by Deep Learning.” Insurance Monograph, vol. 36, no. 4, pp. 1–20, 2020.

Chang S.-C., Lee Y.-K., Hsuan W., Tu C.-Y., “Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry.” Asia-Pacific Journal of Risk and Insurance, vol. 14, no. 1, pp. 1–16, 2020. (EconLit)

Tu C.-Y., Chang S.-C., “Numerical Valuation of Double Barrier Options: The Finite Element Method Approach.” Journal of Risk Management, vol. 21, no. 1, pp. 5–21, 2019.

Chang S.-C., Tu C.-Y., “Optimal Asset Allocation under the Liquidity Constraint.” Journal of Risk Management, vol. 20, no. 2, pp. 85–105, 2018.

Chang S.-C., Tu C.-Y., Tsai C.-H., “Pension Fund Management Using the Markov Chain Approximation.” Asia Pacific Management Review, vol. 10, no. 4, pp. 259–266, 2005. (EconLit, TSSCI)

Chang S.-C., Tu C.-Y., Teng Y.-S., “Speculating and Hedging in Optimal Investment Strategy for Multi-Period Fund Management.” Insurance Monograph, vol. 19, no. 1, pp. 1–21, 2003.

Chang S.-C., Tsai C.-H., Tien C.-J., Tu C.-Y., “Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: Model Incorporating Asset-Liability Matching Criterions.” Journal of Actuarial Practice, vol. 10, pp. 131–155, 2002.

Preprint (submitted)

Hsuan W., Tu C.-Y., “On Merton's Optimal Consumption-Investment Problem: A Lie Symmetry Analysis Approach.”

Working Papers

Hsuan W., Tu C.-Y., “Insurance Market Equilibrium with Catastrophic Risk: A Continuous-Time Mean-Variance Analysis.”

Hsuan W., Tu C.-Y., “Quantifying Reinvestment Risk in International Bonds: A Random Neural Networks Approach.”

Tu C.-Y., Chang S.-C., “Optimal Insurance Solvency Regulatory Schemes Under the Early Warning System.”