| Publication | Date of Publication | Type |
|---|
Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
Statistical Theory and Related Fields | 2023-03-07 | Paper |
Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
Journal of Industrial and Management Optimization | 2022-09-23 | Paper |
Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
Communications in Statistics: Theory and Methods | 2022-06-10 | Paper |
Optimal dividend, capital injection and excess-of-loss reinsurance strategies for insurer with a terminal value of the bankruptcy
SCIENTIA SINICA Mathematica | 2022-03-21 | Paper |
Optimal dividend, capital injection and reinsurance strategies with variance premium principle
SCIENTIA SINICA Mathematica | 2021-12-17 | Paper |
Pricing dynamic fund protection under hidden Markov models
IMA Journal of Management Mathematics | 2019-06-18 | Paper |
Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
Applied Mathematics and Computation | 2019-04-29 | Paper |
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Insurance Mathematics & Economics | 2019-03-28 | Paper |
Minimization of risks in defined benefit pension plan with time-inconsistent preferences
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs
Journal of Industrial and Management Optimization | 2019-02-05 | Paper |
Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
Journal of Computational and Applied Mathematics | 2018-06-13 | Paper |
Optimal dividend and reinsurance strategies with financing and liquidation value
ASTIN Bulletin | 2018-06-04 | 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 dividends and capital injections for a spectrally positive Lévy process
Journal of Industrial and Management Optimization | 2017-06-15 | Paper |
Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan
Journal of Industrial and Management Optimization | 2017-06-14 | Paper |
Optimal impulse control for dividend and capital injection with proportional reinsurance and exponential premium principle
Communications in Statistics: Theory and Methods | 2017-05-02 | Paper |
Exponential utility maximization for an insurer with time-inconsistent preferences
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal risk and dividend control of an insurance company with exponential premium principle and liquidation value
Stochastics | 2016-11-25 | Paper |
Stochastic Comparisons and Optimal Allocation for Policy Limits and Deductibles
Communications in Statistics. Theory and Methods | 2016-06-28 | Paper |
Optimal dividend and equity issuance in the perturbed dual model under a penalty for ruin
Communications in Statistics. Theory and Methods | 2016-05-25 | Paper |
Pricing dynamic fund protections with regime switching
Journal of Computational and Applied Mathematics | 2015-12-14 | Paper |
Optimal dividends and capital injections in the dual model with a random time horizon
Journal of Optimization Theory and Applications | 2015-10-28 | Paper |
On a Markov chain approximation method for option pricing with regime switching
Journal of Industrial and Management Optimization | 2015-10-22 | Paper |
Cox risk model with variable premium rate and stochastic return on investment
Journal of Computational and Applied Mathematics | 2015-06-16 | Paper |
Pricing annuity guarantees under a double regime-switching model
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
Acta Mathematicae Applicatae Sinica. English Series | 2015-05-06 | Paper |
Optimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission
Journal of Industrial and Management Optimization | 2015-02-03 | Paper |
On dividend strategies with non-exponential discounting
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
Communications in Statistics. Theory and Methods | 2014-10-14 | Paper |
Optimal dividend and capital injection strategy with fixed costs and restricted dividend rate for a dual model
Journal of Industrial and Management Optimization | 2014-03-11 | Paper |
Optimal stochastic investment games under Markov regime switching market
Journal of Industrial and Management Optimization | 2014-03-11 | Paper |
Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model
Journal of Industrial and Management Optimization | 2013-11-14 | Paper |
Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model
Frontiers of Mathematics in China | 2013-04-10 | Paper |
Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk
Science China. Mathematics | 2013-01-28 | Paper |
On the optimal dividend strategy in a regime-switching diffusion model
Advances in Applied Probability | 2012-11-02 | Paper |
Optimal threshold dividend strategies under the compound Poisson model with regime switching
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Optimal surrender strategies for equity-indexed annuity investors with partial information
Statistics & Probability Letters | 2012-08-30 | Paper |
Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs
European Journal of Operational Research | 2012-05-14 | Paper |
Valuation of equity-indexed annuity under stochastic mortality and interest rate
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Upper bounds for ruin probabilities in two dependent risk models under rates of interest
Applied Stochastic Models in Business and Industry | 2011-11-26 | Paper |
Asymptotic ruin probabilities for risk model with random premium and stochastic return on investment
| 2011-07-19 | Paper |
Optimal financing and dividend strategies in a dual model with proportional costs
Journal of Industrial and Management Optimization | 2011-01-19 | Paper |
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
Stochastic Analysis and Applications | 2011-01-13 | Paper |
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
Journal of Optimization Theory and Applications | 2010-12-21 | Paper |
Optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors
Journal of Computational and Applied Mathematics | 2010-07-20 | Paper |
On the Markov-modulated insurance risk model with tax
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2010-06-21 | Paper |
scientific article; zbMATH DE number 5583486 (Why is no real title available?)
| 2009-07-22 | Paper |
On maximizing the expected terminal utility by investment and reinsurance
Journal of Industrial and Management Optimization | 2009-03-30 | Paper |
A decomposition of the ruin probability for risk processes with Vasicek interest rate
| 2009-03-06 | Paper |
scientific article; zbMATH DE number 5504889 (Why is no real title available?)
| 2009-02-09 | Paper |
scientific article; zbMATH DE number 5504766 (Why is no real title available?)
| 2009-02-09 | Paper |
On the distributions of two classes of multiple dependent aggregate claims
Acta Mathematicae Applicatae Sinica. English Series | 2008-10-27 | Paper |
The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
Communications in Statistics: Theory and Methods | 2008-09-24 | Paper |
On the consistency of credibility premiums regarding Esscher principle
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Ruin problems with stochastic premium stochastic return on investments
Frontiers of Mathematics in China | 2008-07-29 | Paper |
Exponential bounds for ruin probability in two moving average risk models with constant interest rate
Acta Mathematica Sinica, English Series | 2008-05-26 | Paper |
On the distribution of duration of first negative surplus for a discrete time risk model with random interest rate
| 2008-05-14 | Paper |
Valueing equity-indexed annuities with mortality risks
| 2008-01-14 | Paper |
Another choice to the distribution of aggregate claims -- compound Poisson-inverse Gaussian distribution
| 2007-11-08 | Paper |
Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate
Journal of Industrial and Management Optimization | 2006-07-14 | Paper |
On Erlang(2) Risk Process Perturbed by Diffusion
Communications in Statistics: Theory and Methods | 2005-11-15 | Paper |
On the distribution of surplus immediately after ruin under interest force and subexponential claims
Insurance Mathematics & Economics | 2005-08-05 | Paper |
scientific article; zbMATH DE number 2162630 (Why is no real title available?)
| 2005-04-29 | Paper |
On the Ruin Probability Under a Class of Risk Processes
ASTIN Bulletin | 2005-03-30 | Paper |
A Poisson limit theorem for a strongly ergodic non-homogeneous Markov chain
Journal of Mathematical Analysis and Applications | 2003-04-28 | Paper |
scientific article; zbMATH DE number 1874684 (Why is no real title available?)
| 2003-04-28 | Paper |
Essential (convex) closure of a family of random sets and its applications
Journal of Mathematical Analysis and Applications | 2002-10-23 | Paper |
Optional and predictable projections of set-valued measurable processes
Applied Mathematics. Series B (English Edition) | 2002-09-02 | Paper |
Projections of set-valued stochastic processes
Chinese Journal of Contemporary Mathematics | 2002-08-25 | Paper |
Set valued Bartle integrals
Journal of Mathematical Analysis and Applications | 2002-06-02 | Paper |
scientific article; zbMATH DE number 1567265 (Why is no real title available?)
| 2001-08-30 | Paper |
Some related problems of SVO supermartingales.
Chinese Journal of Applied Probability and Statistics | 2001-04-09 | Paper |
scientific article; zbMATH DE number 1536395 (Why is no real title available?)
| 2000-11-28 | Paper |
scientific article; zbMATH DE number 1536447 (Why is no real title available?)
| 2000-11-28 | Paper |
scientific article; zbMATH DE number 1536439 (Why is no real title available?)
| 2000-11-28 | Paper |
scientific article; zbMATH DE number 1348934 (Why is no real title available?)
| 1999-10-07 | Paper |
scientific article; zbMATH DE number 1264341 (Why is no real title available?)
| 1999-03-16 | Paper |
Set-valued stationary processes
Journal of Multivariate Analysis | 1998-11-01 | Paper |
scientific article; zbMATH DE number 980026 (Why is no real title available?)
| 1997-02-19 | Paper |
scientific article; zbMATH DE number 644324 (Why is no real title available?)
| 1995-02-14 | Paper |
