| Publication | Date of Publication | Type |
|---|
Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
Scandinavian Actuarial Journal | 2024-09-20 | Paper |
A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
Scandinavian Actuarial Journal | 2024-09-20 | Paper |
Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
European Journal of Operational Research | 2024-06-13 | Paper |
Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
Stochastic Models | 2023-11-23 | Paper |
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
European Journal of Operational Research | 2023-09-15 | Paper |
Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
Journal of Computational and Applied Mathematics | 2022-10-21 | Paper |
Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
Mathematical Methods of Operations Research | 2022-10-18 | Paper |
Optimal per-loss reinsurance and investment to minimize the probability of drawdown
Journal of Industrial and Management Optimization | 2022-09-23 | Paper |
Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
Scandinavian Actuarial Journal | 2022-06-13 | Paper |
Optimal mean-variance reinsurance with delay and multiple classes of dependent risks
SCIENTIA SINICA Mathematica | 2022-03-21 | Paper |
Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock
SCIENTIA SINICA Mathematica | 2022-03-21 | Paper |
Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
Journal of Industrial and Management Optimization | 2022-02-16 | Paper |
Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
Journal of Industrial and Management Optimization | 2022-02-16 | Paper |
Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
The ANZIAM Journal | 2021-11-11 | Paper |
Minimizing the probability of absolute ruin under the mean‐variance premium principle
Optimal Control Applications & Methods | 2021-10-28 | Paper |
Minimizing the probability of absolute ruin under ambiguity aversion
Applied Mathematics and Optimization | 2021-10-19 | Paper |
Optimal reinsurance and investment in danger-zone and safe-region
Optimal Control Applications & Methods | 2021-06-22 | Paper |
Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
Stochastic Analysis and Applications | 2021-04-27 | Paper |
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
Scandinavian Actuarial Journal | 2020-12-16 | Paper |
Optimal per-loss reinsurance and investment to minimize the probability of drawdown
(available as arXiv preprint) | 2020-10-23 | Paper |
Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Generalizing the hypergraph Laplacian via a diffusion process with mediators
Theoretical Computer Science | 2020-01-16 | Paper |
Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
Mathematical Methods of Operations Research | 2019-09-19 | Paper |
Optimal dividends with an affine penalty
Journal of Applied Mathematics and Computing | 2019-08-14 | Paper |
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Scandinavian Actuarial Journal | 2018-12-14 | Paper |
Generalizing the hypergraph Laplacian via a diffusion process with mediators
Lecture Notes in Computer Science | 2018-10-04 | Paper |
Optimal reinsurance in a compound Poisson risk model with dependence
Journal of Applied Mathematics and Computing | 2018-09-25 | Paper |
Optimal dynamic reinsurance with dependent risks: variance premium principle
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
Journal of Applied Mathematics and Computing | 2018-04-13 | Paper |
Optimal mean-variance reinsurance with common shock dependence
The ANZIAM Journal | 2017-10-17 | Paper |
Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
Optimal Control Applications & Methods | 2017-05-26 | Paper |
Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Mathematical Methods of Operations Research | 2016-10-20 | Paper |
| scientific article; zbMATH DE number 6613074 (Why is no real title available?) | 2016-08-10 | Paper |
Optimal layer reinsurance on the maximization of the adjustment coefficient
Numerical Algebra, Control and Optimization | 2016-02-24 | Paper |
Optimal proportional reinsurance with common shock dependence
Insurance Mathematics & Economics | 2015-09-14 | Paper |
| Optimal proportional reinsurance and ruin probability to maximize the adjustment coefficient -- jump-diffusion risk model | 2015-02-11 | Paper |
Optimal reinsurance and investment with unobservable claim size and intensity
Insurance Mathematics & Economics | 2014-09-22 | Paper |
Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Optimal investment and proportional reinsurance in the Sparre Andersen model
Journal of Systems Science and Complexity | 2013-08-05 | Paper |
Dividends and reinsurance under a penalty for ruin
Insurance Mathematics & Economics | 2012-05-11 | Paper |
Optimal investment and proportional reinsurance with constrained control variables
Optimal Control Applications & Methods | 2011-11-17 | Paper |
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
Insurance Mathematics & Economics | 2011-08-02 | Paper |
| Ruin probabilities under optimal combining quota-share and excess of loss reinsurance | 2011-07-19 | Paper |
Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
Journal of Applied Mathematics and Computing | 2011-06-22 | Paper |
Optimal proportional reinsurance under two criteria: maximizing the expected utility and minimizing the value at risk
The ANZIAM Journal | 2011-05-04 | Paper |
| Optimal investment and proportional reinsurance for jump-diffusion risk processes: expected value principle | 2010-07-08 | Paper |
Upper bound for ruin probabilities under optimal investment and proportional reinsurance
Applied Stochastic Models in Business and Industry | 2010-04-22 | Paper |
| Optimal investment and reinsurance for jump-diffusion surplus processes | 2009-07-22 | Paper |
| The existence and the structure of \(r\)-truncated annuity distribution | 2008-01-14 | Paper |
Optimal Proportional Reinsurance and Ruin Probability
Stochastic Models | 2007-10-31 | Paper |
| scientific article; zbMATH DE number 5046495 (Why is no real title available?) | 2006-08-16 | Paper |
