Luis Zuluaga

University of New Brunswick - Fredericton

Bailey Drive

P.O. Box 4400

Fredericton NB E3B 5A3, New Brunswick E3B 5A3

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

468

SSRN CITATIONS
Rank 20,620

SSRN RANKINGS

Top 20,620

in Total Papers Citations

16

CROSSREF CITATIONS

26

Scholarly Papers (5)

1.

Bounds for Probabilities of Extreme Events Defined by Two Random Variables

Variance, Vol. 4, No. 1, pp. 47-65, 2010
Number of pages: 34 Posted: 30 Jul 2007 Last Revised: 28 Aug 2011
Samuel H. Cox, Yijia Lin, Ruilin Tian and Luis Zuluaga
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of New Brunswick - Fredericton
Downloads 181 (178,378)

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Semiparametric bounds, joint tail probabilities, value at risk, moments, sum of square programming

2.

Portfolio Risk Management with CVaR-Like Constraints

North American Actuarial Journal, Vol. 14, No. 1, pp. 86-106, 2010
Number of pages: 31 Posted: 28 Aug 2011 Last Revised: 16 Apr 2012
Samuel H. Cox, Yijia Lin, Ruilin Tian and Luis Zuluaga
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of New Brunswick - Fredericton
Downloads 119 (251,058)

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Portfolio Management, CVaR

3.
Downloads 80 (326,161)
Citation 18

Mortality Portfolio Risk Management

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 853-890, 2013
Number of pages: 41 Posted: 25 Aug 2011 Last Revised: 19 Feb 2015
Samuel H. Cox, Yijia Lin, Ruilin Tian and Luis Zuluaga
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of New Brunswick - Fredericton
Downloads 79 (331,768)

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mortality risk, portfolio theory, conditional value-at-risk, moments method, downside risk

Mortality Portfolio Risk Management

Journal of Risk and Insurance, Vol. 80, Issue 4, pp. 853-890, 2013
Number of pages: 38 Posted: 18 Dec 2013
Samuel H. Cox, Yijia Lin, Ruilin Tian and Luis Zuluaga
University of Manitoba - Asper School of Business, University of Nebraska at Lincoln - Department of Finance, North Dakota State University - Department of Accounting, Finance, and Information Systems and University of New Brunswick - Fredericton
Downloads 1 (726,798)
Citation 9
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4.

Bounds on Tail Probabilities and Value at Risk Given Moment Information

Number of pages: 42 Posted: 02 Jun 2013 Last Revised: 26 Nov 2014
Ruilin Tian, Samuel H. Cox and Luis Zuluaga
North Dakota State University - Department of Accounting, Finance, and Information Systems, University of Manitoba - Asper School of Business and University of New Brunswick - Fredericton
Downloads 61 (377,922)

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Moment problem, Semidefinite programming, VaR, Maximum entropy

5.

Moment Problem and Its Application to Tail Risk Assessment

North American Actuarial Journal, Volume 21, Issue 2, pp. 242-266, 2017.
Number of pages: 40 Posted: 03 Apr 2018
Ruilin Tian, Samuel H. Cox and Luis Zuluaga
North Dakota State University - Department of Accounting, Finance, and Information Systems, University of Manitoba - Asper School of Business and University of New Brunswick - Fredericton
Downloads 27 (514,982)

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Moment Problem, Semiparametric Bounds, Semidefinite Programming (SDP), Value at Risk (VaR)