| Publication | Date of Publication | Type |
|---|
Optimal timing for green technology investment under climate risk in a jump-diffusion framework
Journal of Mathematical Analysis and Applications | 2026-01-15 | Paper |
Optimizing portfolios with surrender variable annuities: a deep reinforcement learning approach
Insurance Mathematics & Economics | 2026-01-13 | Paper |
Optimal timing of green technology adoption for climate risk mitigation
Insurance Mathematics & Economics | 2025-11-25 | Paper |
Approximation of optimal ergodic dividend strategies using controlled Markov chains
IET Control Theory & Applications | 2025-11-04 | Paper |
A hybrid deep reinforcement learning method for insurance portfolio management
Journal of Optimization Theory and Applications | 2025-10-29 | Paper |
Fairness and risk sharing in integrated LRD-tontine schemes under Volterra mortality risk
ASTIN Bulletin | 2025-10-14 | Paper |
Non-nested Monte Carlo dual bounds for multi-exercisable options
Communications on Stochastic Analysis | 2025-09-25 | Paper |
A hybrid deep learning method for finite-horizon mean-field game problems
Automatica | 2025-08-05 | Paper |
Optimal strategies for collective defined contribution plans when the stock and labor markets are co-integrated
Applied Mathematics and Computation | 2025-04-24 | Paper |
Insurance contract for electric vehicle charging stations: a Stackelberg game-theoretic approach
Insurance Mathematics & Economics | 2025-04-15 | Paper |
A note on numerical methods for mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
Numerical Algebra, Control and Optimization | 2025-02-17 | Paper |
Optimal risk sharing and dividend strategies under default contagion: a semi-analytical approach
Insurance Mathematics & Economics | 2024-02-13 | Paper |
| A hybrid deep learning method for finite-horizon mean-field game problems | 2023-10-29 | Paper |
A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
Probability in the Engineering and Informational Sciences | 2023-06-16 | Paper |
| Optimal moral-hazard-free reinsurance under extended distortion premium principles | 2023-04-18 | Paper |
Frequency and severity estimation of cyber attacks using spatial clustering analysis
Insurance Mathematics & Economics | 2022-09-14 | Paper |
| Numerical solutions of stochastic control problems: Markov chain approximation methods | 2022-08-19 | Paper |
A perturbation approach to optimal investment, liability ratio, and dividend strategies
Scandinavian Actuarial Journal | 2022-06-20 | Paper |
A survey of numerical solutions for stochastic control problems: some recent progress
Numerical Algebra, Control and Optimization | 2022-06-09 | Paper |
Optimal dividend strategies with reinsurance under contagious systemic risk
SIAM Journal on Control and Optimization | 2022-05-31 | Paper |
Pricing longevity-linked derivatives using a stochastic mortality model
Communications in Statistics: Theory and Methods | 2022-05-20 | Paper |
Household consumption-investment-insurance decisions with uncertain income and market ambiguity
Scandinavian Actuarial Journal | 2022-03-02 | Paper |
Mean-variance portfolio selection with non-negative state-dependent risk aversion
Quantitative Finance | 2021-12-01 | Paper |
Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
Insurance Mathematics & Economics | 2021-11-19 | Paper |
On a class of non-zero-sum stochastic differential dividend games with regime switching
Applied Mathematics and Computation | 2021-11-09 | Paper |
Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
Journal of Industrial and Management Optimization | 2021-06-09 | Paper |
Optimal stop-loss reinsurance with joint utility constraints
Journal of Industrial and Management Optimization | 2021-06-09 | Paper |
Household lifetime strategies under a self-contagious market
European Journal of Operational Research | 2021-06-03 | Paper |
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Insurance Mathematics & Economics | 2021-03-17 | Paper |
A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis
Insurance Mathematics & Economics | 2021-03-17 | Paper |
Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
Insurance Mathematics & Economics | 2020-11-19 | Paper |
Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach
ASTIN Bulletin | 2020-08-31 | Paper |
Reinsurance-investment game between two mean-variance insurers under model uncertainty
Journal of Computational and Applied Mathematics | 2020-08-28 | Paper |
Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
Journal of Industrial and Management Optimization | 2020-07-16 | Paper |
Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
Journal of Computational and Applied Mathematics | 2020-06-10 | Paper |
Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
Insurance Mathematics & Economics | 2020-03-20 | Paper |
| American option model and negative Fichera function on degenerate boundary | 2019-11-20 | Paper |
Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
European Journal of Operational Research | 2019-10-15 | Paper |
Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
Nonlinear Analysis. Hybrid Systems | 2019-10-15 | Paper |
Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
SIAM Journal on Control and Optimization | 2019-09-30 | Paper |
Stochastic differential reinsurance games with capital injections
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Optimal dividend policy with liability constraint under a hidden Markov regime-switching model
Journal of Industrial and Management Optimization | 2019-07-25 | Paper |
Optimal debt ratio and dividend strategies for an insurer under a regime-switching model
Stochastic Models | 2019-05-07 | Paper |
Robust non-zero-sum investment and reinsurance game with default risk
Insurance Mathematics & Economics | 2019-01-15 | Paper |
Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
Journal of Computational and Applied Mathematics | 2018-06-13 | Paper |
Pricing dynamic fund protections for a hyperexponential jump diffusion process
Communications in Statistics: Theory and Methods | 2018-04-27 | Paper |
Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
Nonlinear Analysis. Hybrid Systems | 2018-01-19 | Paper |
Markowitz's mean-variance optimization with investment and constrained reinsurance
Journal of Industrial and Management Optimization | 2017-06-15 | Paper |
Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections
Automatica | 2017-06-02 | Paper |
A numerical approach to optimal dividend policies with capital injections and transaction costs
Acta Mathematicae Applicatae Sinica. English Series | 2017-04-21 | Paper |
Optimal reinsurance under dynamic VaR constraint
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Kolmogorov-type systems with regime-switching jump diffusion perturbations
Discrete and Continuous Dynamical Systems. Series B | 2016-09-30 | Paper |
Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models
Stochastic Analysis and Applications | 2016-08-08 | Paper |
Pricing dynamic fund protections with regime switching
Journal of Computational and Applied Mathematics | 2015-12-14 | Paper |
Lookback option pricing for regime-switching jump diffusion models
Mathematical Control and Related Fields | 2015-11-02 | Paper |
Optimal debt ratio and consumption strategies in financial crisis
Journal of Optimization Theory and Applications | 2015-09-15 | Paper |
Optimal debt ratio and dividend payment strategies with reinsurance
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Some recent progress on numerical methods for controlled regime-switching models with applications to insurance and risk management
Computational Methods in Applied Mathematics | 2015-08-04 | Paper |
A reinsurance game between two insurance companies with nonlinear risk processes
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Almost sure and \(p\)th-moment stability and stabilization of regime-switching jump diffusion systems
SIAM Journal on Control and Optimization | 2014-11-21 | Paper |
An optimal dividend policy with delayed capital injections
The ANZIAM Journal | 2014-09-24 | Paper |
Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls
Journal of Optimization Theory and Applications | 2013-11-22 | Paper |
Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
Automatica | 2013-07-31 | Paper |
Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
Automatica | 2013-07-31 | Paper |
Numerical methods for dividend optimization using regime-switching jump-diffusion models
Mathematical Control and Related Fields | 2011-07-11 | Paper |
A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
International Journal of Computer Mathematics | 2011-04-21 | Paper |
Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
Journal of Computational and Applied Mathematics | 2011-03-09 | Paper |
Asymptotically optimal dividend policy for regime-switching compound Poisson models
Acta Mathematicae Applicatae Sinica. English Series | 2010-10-29 | Paper |
Numerical methods for portfolio selection with bounded constraints
Journal of Computational and Applied Mathematics | 2009-10-09 | Paper |
