Shangzhen Luo

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
Time-inconsistent life-cycle consumption and retirement choice with mortality risk Applied Mathematics and Computation	2022-08-05	Paper
Ruin minimization for insurers with borrowing constraints North American Actuarial Journal	2022-01-19	Paper
Stochastic differential reinsurance games in diffusion approximation models Journal of Computational and Applied Mathematics	2021-02-03	Paper
Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process North American Actuarial Journal	2019-05-28	Paper
On proportional reinsurance with a linear transaction rate Risk and Decision Analysis	2019-03-12	Paper
Maximizing a robust goal-reaching probability with penalization on ambiguity Journal of Computational and Applied Mathematics	2019-01-04	Paper
Optimal reinsurance: minimize the expected time to reach a goal Scandinavian Actuarial Journal	2018-07-13	Paper
Barrier present value maximization for a diffusion model of insurance surplus Scandinavian Actuarial Journal	2018-07-13	Paper
Optimal constrained investment in the Cramer-Lundberg model Scandinavian Actuarial Journal	2018-07-11	Paper
A stochastic differential game for quadratic-linear diffusion processes Advances in Applied Probability	2017-02-21	Paper
An optimal investment model with Markov-driven volatilities Quantitative Finance	2015-04-16	Paper
Stochastic Brownian Game of Absolute Dominance Journal of Applied Probability	2014-07-11	Paper
Stochastic Pareto-optimal reinsurance policies Insurance Mathematics & Economics	2014-06-23	Paper
Minimal cost of a Brownian risk without ruin Insurance Mathematics & Economics	2014-04-25	Paper
Optimal reinsurance under a jump diffusion model	2011-10-21	Paper
Optimal excess-of-loss reinsurance under borrowing constraints Risk and Decision Analysis	2011-08-16	Paper
On absolute ruin minimization under a diffusion approximation model Insurance Mathematics & Economics	2011-08-01	Paper
Filtering of a multi-dimension stochastic volatility model Stochastic Analysis and Applications	2011-06-07	Paper
On reinsurance and investment for large insurance portfolios Insurance Mathematics & Economics	2008-08-22	Paper
Filtering of Hidden Weak Markov Chain -Discrete Range Observations International Series in Operations Research & Management Science	2007-11-05	Paper
Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises Stochastic Analysis and Applications	2007-10-24	Paper

Research outcomes over time

This page was built for person: Shangzhen Luo