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武汉理工大学 [4]
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山东大学 [1]
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期刊论文 [15]
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Risk minimization for an insurer with investment and reinsurance via g-expectation
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 卷号: 48, 期号: 20, 页码: 5012-5035
作者:
Chen, Fenge
;
Peng, Xingchun*
;
Wang, Wenyuan
收藏
  |  
浏览/下载:13/0
  |  
提交时间:2019/12/04
Investment
reinsurance
g-expectation
stochastic maximum principles
Malliavin calculus
Mean-variance problem for an insurer with default risk under a jump-diffusion risk model.
期刊论文
Communications in Statistics: Theory & Methods, 2019, 卷号: Vol.48 No.17, 页码: 4221-4249
作者:
Wang, Suxin
;
Rong, Ximin
;
Zhao, Hui
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2019/11/21
Defaultable bond
Hamilton-Jacobi-Bellman equation
investment and reinsurance
mean-variance criterion
viscosity solution
Derivatives trading for insurers
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2019, 卷号: 84, 页码: 40-53
作者:
Xue, Xiaole
;
Wei, Pengyu
;
Weng, Chengguo
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/12/11
Derivatives trading
HJB equations
Investment-reinsurance
Stochastic
control
Stochastic volatility
Non-zero-sum stochastic differential reinsurance and investment games with default risk
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 卷号: 264, 期号: 3, 页码: 1144-1158
作者:
Deng, Chao
;
Zeng, Xudong
;
Zhu, Huiming
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/08/22
Decision analysis
Game theory
Default risk
Reinsurance and investment
Heston volatility model
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
期刊论文
Science China(Mathematics), 2017, 卷号: 第60卷, 页码: P317-344
作者:
Zhao Hui1
;
Weng Chengguo2
;
Shen Yang3
;
Zeng Yan4
;
*
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  |  
浏览/下载:6/0
  |  
提交时间:2019/11/26
investment-reinsurance problem/mean-variance analysis/time-consistent strategy/constant elasticity of variance model
Risk-based Optimal Investment and Proportional Reinsurance of an Insurer with Hidden Regime Switching
期刊论文
Acta Mathematicae Applicatae Sinica, 2016, 卷号: 32, 期号: 3, 页码: 755-770
作者:
Xing-chun PENG
;
Yi-jun HU
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/04
investment
reinsurance
hidden Markov chain
convex risk measure
backward stochastic differential equation
Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2016, 卷号: 32, 期号: 3
作者:
Peng, Xing-chun
;
Hu, Yi-jun
收藏
  |  
浏览/下载:14/0
  |  
提交时间:2019/12/05
investment
reinsurance
hidden Markov chain
convex risk measure
backward stochastic differential equation
OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET
期刊论文
The ANZIAM Journal, 2016, 卷号: Vol.57 No.3, 页码: 352-368
作者:
Zhu, HM
;
Huang, Y
;
Zhou, JM
;
Yang, XQ
;
Deng, C
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/31
jump-diffusion risk model
optimal investment strategy
proportional reinsurance
exponential utility
Hamilton–Jacobi–Bellman equation
Optimal reinsurance and investment problem for an insurer with counterparty risk
期刊论文
Insurance: Mathematics and Economics, 2015, 卷号: Vol.61, 页码: 242-254
作者:
Zhu, HM
;
Deng, C
;
Yue, SJ
;
Deng, YC
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/31
Optimal reinsurance
Optimal investment
Default risk
Hamilton–Jacobi–Bellman equation
Heston model
Optimal investment, consumption and proportional reinsurance under model uncertainty
期刊论文
Insurance: Mathematics and Economics, 2014, 卷号: 59, 页码: 222-234
作者:
Peng, Xingchun*
;
Chen, Fenge
;
Hu, Yijun
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/04
91G80
97M30
93E20
60H30
Investment
Consumption
Reinsurance
Model uncertainty
Stochastic maximum principle
Malliavin calculus
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