Eric C.K. Cheung

Associate Professor

I obtained BSc (Actuarial Science) degree from the University of Hong Kong and got MMath (Actuarial Science) and PhD (Actuarial Science) degrees from the University of Waterloo. After PhD, I worked at the Department of Statistics and Actuarial Science of HKU for 7 years (Assistant Professor, August 2010 - June 2016; Associate Professor, July 2016 - June 2017), and then joined UNSW as an Associate Professor in July 2017.

Preprints
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Ahn JY; Cheung ECK; Oh R; Woo J-K, 2021, Optimal relativities in a modified Bonus-Malus system with long memory transition rules and frequency-severity dependence
2021
Journal articles
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Cheung ECK; Ni W; Oh R; Woo J-K, 2021, 'Bayesian credibility under a bivariate prior on the frequency and the severity of claims', Insurance: Mathematics and Economics, vol. 100, pp. 274 - 295, http://dx.doi.org/10.1016/j.insmatheco.2021.06.003
2021
Cheung ECK; Zhang Z, 2021, 'Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion', Scandinavian Actuarial Journal, http://dx.doi.org/10.1080/03461238.2021.1885483
2021
Cheung ECK; Feng R, 2019, 'Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times', Scandinavian Actuarial Journal, http://dx.doi.org/10.1080/03461238.2018.1525423
2019
Cheung ECK; Rabehasaina L; Woo J-K; Xu R, 2019, 'Asymptotic correlation structure of discounted Incurred But Not Reported claims under fractional Poisson arrival process', European Journal of Operational Research, vol. 276, pp. 582 - 601, http://dx.doi.org/10.1016/j.ejor.2019.01.033
2019
Cheung ECK; Zhang Z, 2019, 'Periodic threshold-type dividend strategy in the compound Poisson risk model', Scandinavian Actuarial Journal, vol. 2019, pp. 1 - 31, http://dx.doi.org/10.1080/03461238.2018.1481454
2019
Ahn S; Badescu AL; Cheung E; Kim J-R, 2018, 'An IBNR–RBNS insurance risk model with marked Poisson arrivals', Insurance: Mathematics and Economics, vol. 79, pp. 26 - 42, http://dx.doi.org/10.1016/j.insmatheco.2017.12.004
2018
Zhang Z; Cheung ECK, 2018, 'A note on a Lévy insurance risk model under periodic dividend decisions', Journal of Industrial and Management Optimization, vol. 14, pp. 35 - 63, http://dx.doi.org/10.3934/jimo.2017036
2018
Cheung ECK; Liu H; Willmot GE, 2018, 'Joint moments of the total discounted gains and losses in the renewal risk model with two-sided jumps', Applied Mathematics and Computation, vol. 331, pp. 358 - 377, http://dx.doi.org/10.1016/j.amc.2018.03.037
2018
Cheung E; Dai S; Ni W, 2018, 'Ruin probabilities in a Sparre Andersen model with dependency structure based on a threshold window', Annals of Actuarial Science, vol. 12, pp. 269 - 295, http://dx.doi.org/10.1017/S1748499517000215
2018
Zhang Z; Cheung ECK; Yang H, 2018, 'On the compound Poisson risk model with periodic capital injections', ASTIN Bulletin, vol. 48, pp. 435 - 477, http://dx.doi.org/10.1017/asb.2017.22
2018
Zhang Z; Cheung ECK; Yang H, 2017, 'Lévy insurance risk process with Poissonian taxation', Scandinavian Actuarial Journal, vol. 2017, pp. 51 - 87, http://dx.doi.org/10.1080/03461238.2015.1062042
2017
Cheung ECK; Wong JTY, 2017, 'On the dual risk model with Parisian implementation delays in dividend payments', European Journal of Operational Research, vol. 257, pp. 159 - 173, http://dx.doi.org/10.1016/j.ejor.2016.09.018
2017
Cheung ECK; Woo J-K, 2016, 'On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes', Scandinavian Actuarial Journal, vol. 2016, pp. 63 - 91, http://dx.doi.org/10.1080/03461238.2014.900519
2016
Cheung ECK; Liu H, 2016, 'On the joint analysis of the total discounted payments to policyholders and shareholders: threshold dividend strategy', Annals of Actuarial Science, vol. 10, pp. 236 - 269
2016
Zhang Z; Eric C; Cheung K, 2016, 'The Markov additive risk process under an Erlangized dividend barrier strategy', Methodology and Computing in Applied Probability, vol. 18, pp. 275 - 275, http://dx.doi.org/10.1007/s11009-014-9414-7
2016
Cheung ECK; Liu H; Woo J-K, 2015, 'On the joint analysis of the total discounted payments to policyholders and shareholders: dividend barrier strategy', Risks, vol. 3, pp. 491 - 514, http://dx.doi.org/10.3390/risks3040491
2015
Liu L; Cheung ECK, 2015, 'On a bivariate risk process with a dividend barrier strategy', Annals of Actuarial Science, vol. 9, pp. 3 - 35
2015
Wong JTY; Cheung ECK, 2015, 'On the time value of Parisian ruin in (dual) renewal risk processes with exponential jumps', Insurance: Mathematics and Economics, vol. 65, pp. 280 - 290, http://dx.doi.org/10.1016/j.insmatheco.2015.10.001
2015
Liu L; Cheung ECK, 2014, 'On a Gerber–Shiu type function and its applications in a dual semi-Markovian risk model', Applied Mathematics and Computation, vol. 247, pp. 1183 - 1201, http://dx.doi.org/10.1016/j.amc.2014.09.059
2014
Choi MCH; Cheung ECK, 2014, 'On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions', Insurance: Mathematics and Economics, vol. 59, pp. 121 - 132, http://dx.doi.org/10.1016/j.insmatheco.2014.08.009
2014
Cheung ECK; Feng R, 2013, 'A unified analysis of claim costs up to ruin in a Markovian arrival risk model', Insurance: Mathematics and Economics, vol. 53, pp. 98 - 109, http://dx.doi.org/10.1016/j.insmatheco.2013.04.001
2013
Cheung E, 2013, 'On a periodic dividend barrier strategy in the dual model with continuous monitoring of solvency', Insurance: Mathematics and Economics, vol. 52, pp. 98 - 113, http://dx.doi.org/10.1016/j.insmatheco.2012.10.008
2013
Cheung ECK, 2013, 'Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times', Insurance: Mathematics and Economics, vol. 53, pp. 343 - 354, http://dx.doi.org/10.1016/j.insmatheco.2013.06.003
2013
Woo J-K; Cheung ECK, 2013, 'A note on discounted compound renewal sums under dependency', Insurance: Mathematics and Economics, vol. 52, pp. 170 - 179, http://dx.doi.org/10.1016/j.insmatheco.2012.11.005
2013
Albrecher H; Cheung ECK; Thonhauser S, 2013, 'Randomized observation periods for the compound Poisson risk model: the discounted penalty function', Scandinavian Actuarial Journal, vol. 2013, pp. 424 - 452, http://dx.doi.org/10.1080/03461238.2011.624686
2013
Cheung ECK; Landriault D, 2012, 'On a risk model with surplus-dependent premium and tax rates', Methodology and Computing in Applied Probability, vol. 14, pp. 233 - 251, http://dx.doi.org/10.1007/s11009-010-9197-4
2012
Gong L; Badescu AL; Cheung ECK, 2012, 'Recursive methods for a multi-dimensional risk process with common shocks', Insurance: Mathematics and Economics, vol. 50, pp. 109 - 120, http://dx.doi.org/10.1016/j.insmatheco.2011.10.007
2012
Cheung ECK, 2012, 'A unifying approach to the analysis of business with random gains', Scandinavian Actuarial Journal, vol. 2012, pp. 153 - 182, http://dx.doi.org/10.1080/03461238.2010.490027
2012
Albrecher H; Cheung ECK; Thonhauser S, 2011, 'Randomized observation periods for the compound Poisson risk model: dividends', ASTIN Bulletin: The Journal of the IAA, vol. 41, pp. 645 - 672, http://dx.doi.org/10.2143/AST.41.2.2136991
2011
Cheung ECK; Landriault D; Badescu AL, 2011, 'On a generalization of the risk model with Markovian claim arrivals', Stochastic models, vol. 27, pp. 407 - 430, http://dx.doi.org/10.1080/15326349.2011.593403
2011
Cheung ECK; Landriault D; Willmot GE; Woo J-K, 2011, 'On orderings and bounds in a generalized Sparre Andersen risk model', Applied Stochastic Models in Business and Industry, vol. 27, pp. 51 - 60, http://dx.doi.org/10.1002/asmb.837
2011
Badescu AL; Cheung ECK; Rabehasaina L, 2011, 'A two-dimensional risk model with proportional reinsurance', Journal of Applied Probability, vol. 48, pp. 749 - 765, http://dx.doi.org/10.1239/jap/1316796912
2011
Cheung ECK, 2011, 'On a class of stochastic models with two-sided jumps', Queueing Systems, vol. 69, pp. 1 - 1, http://dx.doi.org/10.1007/s11134-011-9228-z
2011
Cheung ECK, 2011, 'A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium', Insurance: Mathematics and Economics, vol. 48, pp. 384 - 397, http://dx.doi.org/10.1016/j.insmatheco.2011.01.006
2011
Cheung ECK; Landriault D; Willmot GE; Woo J-K, 2010, 'Gerber–Shiu analysis with a generalized penalty function', Scandinavian Actuarial Journal, vol. 2010, pp. 185 - 199, http://dx.doi.org/10.1080/03461230902884013
2010
Cheung ECK; Landriault D; Willmot GE; Woo J-K, 2010, 'Structural properties of Gerber–Shiu functions in dependent Sparre Andersen models', Insurance: Mathematics and Economics, vol. 46, pp. 117 - 126, http://dx.doi.org/10.1016/j.insmatheco.2009.05.009
2010
Cheung ECK; Landriault D, 2010, 'A generalized penalty function with the maximum surplus prior to ruin in a MAP risk model', Insurance: Mathematics and Economics, vol. 46, pp. 127 - 134, http://dx.doi.org/10.1016/j.insmatheco.2009.07.009
2010
Cheung ECK; Landriault D, 2009, 'Perturbed MAP risk models with dividend barrier strategies', Journal of Applied Probability, vol. 46, pp. 521 - 541, http://dx.doi.org/10.1239/jap/1245676104
2009
Cheung ECK; Landriault D, 2009, 'Analysis of a generalized penalty function in a semi-Markovian risk model', North American Actuarial Journal, vol. 13, pp. 497 - 513, http://dx.doi.org/10.1080/10920277.2009.10597571
2009
Badescu AL; Cheung ECK; Landriault D, 2009, 'Dependent risk models with bivariate phase-type distributions', Journal of Applied Probability, vol. 46, pp. 113 - 131, http://dx.doi.org/10.1239/jap/1238592120
2009
Cheung ECK; Drekic S, 2008, 'Dividend moments in the dual risk model: exact and approximate approaches', ASTIN Bulletin: The Journal of the IAA, vol. 38, pp. 399 - 422, http://dx.doi.org/10.2143/AST.38.2.2033347
2008
Cheung ECK; Dickson DCM; Drekic S, 2008, 'Moments of discounted dividends for a threshold strategy in the compound Poisson risk model', North American Actuarial Journal, vol. 12, pp. 299 - 318, http://dx.doi.org/10.1080/10920277.2008.10597523
2008
Other
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Cheung ECK, 2010, “A Direct Approach to the Discounted Penalty Function”, Hansjörg Albrecher, Hans U. Gerber, and Hailiang Yang, Volume 14, No. 4, 2010, Taylor & Francis, http://dx.doi.org/10.1080/10920277.2010.10597602
2010
Cheung ECK, 2008, “Recursive Calculation of the Dividend Moments in a Multi-Threshold Risk Model,” Andrei Badescu and David Landriault, January 2008, Taylor & Francis, http://dx.doi.org/10.1080/10920277.2008.10597525
2008
Cheung ECK, 2007, “On Optimal Dividend Strategies in the Compound Poisson Model”, by Elias SW Shiu and Hans U. Gerber, April 2006, Taylor & Francis, http://dx.doi.org/10.1080/10920277.2007.10597442
2007
Cheung ECK, 2007, “Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model,” Shaunming Li and Yi Lu, April 2007, Taylor & Francis, http://dx.doi.org/10.1080/10920277.2007.10597494
2007
Cheung ECK, 2007, “A Risk Model with Multilayer Dividend Strategy”, Hansjorg Albrecher and Jürgen Hartinger, April 2007, Taylor & Francis, http://dx.doi.org/10.1080/10920277.2007.10597480
2007
Theses / Dissertations
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Cheung ECK, 2010, Analysis of some risk models involving dependence, article, University of Waterloo
2010
  • ARC (Australian Research Council) Discovery Project, July 2020 - June 2023
    • Project title: Shock model-based framework for modelling correlated large losses (Project number: DP200100615)
    • Role: Chief Investigator
    • Other Chief Investigator: Jae-Kyung Woo
    • Partner Investigators: Hansjoerg Albrecher and Gordon Willmot
    • Valued AUD334,000 in total (held at UNSW)
  • Casualty Actuarial Society and Society of Actuaries' CKER (Committee on Knowledge Extension Research) Grant, Jul 2018 - Jun 2020
    • Project title: Credibility theory under a general dependency structure of risk profile between frequency and severity of loss
    • Role: Chief Investigator
    • Other Chief Investigator: Jae-Kyung Woo
    • Valued USD20,000 in total (held at UNSW)
  • General Research Fund from RGC (Research Grants Council of the Hong Kong Special Administrative Region), Jul 2016 - Jun 2019
    • Project title: Joint analysis of path-dependent quantities in insurance risk processes (Project number: 17324016)
    • Role: (Sole) Chief Investigator (Jul 2016 - Jun 2017); Partner Investigator (Jul 2017 - Jun 2019)
    • Transferred to Hailiang Yang in Jul 2017 upon leaving University of Hong Kong
    • Valued HKD446,566 in total (held at University of Hong Kong)
  • CAE (Centers of Actuarial Excellence) Research Grant from Society of Actuaries, 2014 - 2016
    • Project title: Actuarial study of dependent risks: Analysis and applications
    • Role: Chief Investigator
    • Other Chief Investigators: Ka Chun Cheung, Jae-Kyung Woo, Hailiang Yang, Kam Chuen Yuen
    • Valued USD281,490 in total (held at University of Hong Kong)
  • General Research Fund from RGC (Research Grants Council of the Hong Kong Special Administrative Region), Aug 2012 - Jan 2016
    • Project title: Generalizations of Gerber-Shiu function and discounted aggregate claim costs in insurance risk theory (Project number: HKU 701212P)
    • Role: (Sole) Chief Investigator
    • Transferred to Hailiang Yang in Jul 2017 upon leaving University of Hong Kong
    • Valued HKD700,000 in total (held at University of Hong Kong)

I have the experience of teaching courses in three different universities, mostly in Actuarial Science subjects.

  • UNSW
    • ACTL 2111/5102 Financial Mathematics for Actuaries
    • ACTL 3162 General Insurance Techniques
  • University of Hong Kong
    • STAT 3802/3951 Advanced Contingencies
    • STAT 2315/3615 Practical Mathematics for Investment
    • STAT 2801/3901 Life Contingencies
    • STAT 2805 Credibility Theory and Loss Distributions
    • STAT 3821/6006 Financial Economics II/Stochastic Calculus with Financial Applications
    • STAT 2820/3905 Introduction to Financial Derivatives
  • University of Waterloo
    • ACTSC 431/831 Loss Models 1
    • ACTSC 231 Mathematics of Finance