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摘要
Risk-based Optimal Investment and Proportional
Reinsurance
of an Insurer with Hidden Regime Switching
In this paper, we study the optimal investment and proportional reinsurance strategy for an insurer in a hidden Markov regime-switching environment. A risk-base...
《Acta Mathematicae Applicatae Sinica》 2016年 第03期
下载次数（10）| 被引次数（0）
On Optimal Proportional
Reinsurance
and Investment in a Hidden Markov Financial Market
This paper investigates the optimal reinsurance and investment in a hidden Markov financial market consisting of non-risky(bond) and risky(stock) asset.We assum...
《Acta Mathematicae Applicatae Sinica》 2017年 第01期
下载次数（16）| 被引次数（0）
OPTIMAL PROPORTIONAL
REINSURANCE
AND INVESTMENT FOR A CONSTANT ELASTICITY OF VARIANCE MODEL UNDER VARIANCE PRINCIPLE
This article studies the optimal proportional reinsurance and investment problem under a constant elasticity of variance(CEV) model.Assume that the insurer s su...
《Acta Mathematica Scientia(English Series)》 2015年 第02期
下载次数（37）| 被引次数（8）
Dividend-
Reinsurance
Strategy in the Sparre Andersen Model
In this paper,we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier,which is named dividend-reinsurance str...
《数学学报》 2013年 第02期
下载次数（30）| 被引次数（1）
Dividend-
Reinsurance
Strategy in the Sparre Andersen Model
In this paper, we introduce a reinsurance strategy into the Sparre Andersen risk model with a horizon dividend barrier, which is named dividend-reinsurance stra...
《Acta Mathematica Sinica》 2013年 第02期
下载次数（33）| 被引次数（6）
Optimal Dividend and Dynamic
Reinsurance
Strategies with Capital Injections and Proportional Costs
We consider an optimization problem of an insurance company in the diffusion setting, which controls the dividends payout as well as the capital injections. To ...
《Acta Mathematicae Applicatae Sinica(English Series)》 2012年 第03期
下载次数（65）| 被引次数（6）
Risk Measure and Premium Distribution on Catastrophe
Reinsurance
In this paper,we propose a new risk measure which is based on the Orlicz premium principle to characterize catastrophe risk premium.The intention is to develop ...
《Communications in Mathematical Research》 2012年 第04期
下载次数（73）| 被引次数（1）
On Optimal Proportional
Reinsurance
and Investment in a Markovian Regime-Switching Economy
In this paper,the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process.The insurer decides the proportional reinsurance a...
《Acta Mathematica Sinica》 2012年 第01期
下载次数（106）| 被引次数（13）
OPTIMAL INVESTMENT AND PROPORTIONAL
REINSURANCE
IN THE SPARRE ANDERSEN MODEL
From the insurer s point of view,this paper studies the optimal investment and proportional reinsurance in the Sparre Andersen model.Under the criterion of m...
《Journal of Systems Science & Complexity》 2012年 第05期
下载次数（0）| 被引次数（3）
OPTIMAL PROPORTIONAL
REINSURANCE
UNDER DEPENDENT RISKS
This paper considers a correlated risk model with thinning-dependence structure.The authors investigate the optimal proportional reinsurance that maximizes t...
《Journal of Systems Science & Complexity》 2012年 第06期
下载次数（0）| 被引次数（1）
Optimal Investment and Excess of Loss
Reinsurance
with Short-selling Constraint
This paper considers the optimal control problem with constraints for an insurance company. The risk process is assumed to be a jump-diffusion process and the r...
《Acta Mathematicae Applicatae Sinica(English Series)》 2011年 第03期
下载次数（61）| 被引次数（4）
Optimal dynamic excess-of-loss
reinsurance
and multidimensional portfolio selection
In this paper, the surplus process of the insurance company is described by a Brownian motion with drift. In addition, the insurer is allowed to invest in a ris...
《Science China(Mathematics)》 2010年 第07期
下载次数（113）| 被引次数（19）
Bivariate Recursive Equations on Excess-of-loss
Reinsurance
This paper investigates bivariate recursive equations on excess-of-loss reinsurance.For aninsurance portfolio,under the assumptions that the individual clai...
《Acta Mathematica Sinica(English Series)》 2007年 第03期
下载次数（11）| 被引次数（0）
Optimal Proportional
Reinsurance
for Controlled Risk Process which is Perturbed by Diffusion
In this paper,we study optimal proportional reinsurance policy of an insurer with a risk processwhich is perturbed by a diffusion.We derive closed-form expr...
《Acta Mathematicae Applicatae Sinica》 2007年 第03期
下载次数（18）| 被引次数（25）
CONDITIONAL RECURSIVE EQUATIONS ON EXCESS-OF-LOSS
REINSURANCE
The marginal recursive equations on excess-of-loss reinsurance treaty are investignted, under the assumption that the number of claims belongs to the family ...
《Applied Mathematics and Mechanics(English Edition)》 2006年 第08期
下载次数（43）| 被引次数（1）
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