Kun Fan

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Robust reinsurance and investment strategies under principal-agent framework Annals of Operations Research	2024-06-04	Paper
Posterior propriety of an objective prior in a 4-level normal hierarchical model Mathematical Problems in Engineering	2021-05-18	Paper
Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion Operations Research Letters	2021-04-07	Paper
Characterizations on almost stochastic dominance revisited	2020-08-12	Paper
Stochastic differential reinsurance games with capital injections Insurance Mathematics & Economics	2019-09-19	Paper
Pricing dynamic fund protection under hidden Markov models IMA Journal of Management Mathematics	2019-06-18	Paper
Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle Journal of Industrial and Management Optimization	2019-02-05	Paper
Optimal dividend and risk control strategies in a nonlinear model	2018-07-18	Paper
Valuation of CatEPuts with regime switching	2018-01-29	Paper
Valuation of correlation options under a stochastic interest rate model with regime switching Frontiers of Mathematics in China	2018-01-19	Paper
An FFT approach for option pricing under a regime-switching stochastic interest rate model Communications in Statistics: Theory and Methods	2017-08-23	Paper
Optimal risk and dividend control of an insurance company with exponential premium principle and liquidation value Stochastics	2016-11-25	Paper
An effective modified binary particle swarm optimization (mBPSO) algorithm for multi-objective resource allocation problem (MORAP) Applied Mathematics and Computation	2016-01-19	Paper
On a Markov chain approximation method for option pricing with regime switching Journal of Industrial and Management Optimization	2015-10-22	Paper
Pricing options under two-factor Markov-modulated stochastic volatility models	2015-06-29	Paper
Pricing annuity guarantees under a double regime-switching model Insurance Mathematics & Economics	2015-05-26	Paper
An FFT approach to price guaranteed minimum death benefit in variable annuities under a regime-switching model	2014-06-30	Paper

Research outcomes over time

This page was built for person: Kun Fan