Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models 

The present paper studies time-consistent solutions to an investment-reinsurance problem under a mean-variance framework.The paper is distinguished from other l...
《Science China(Mathematics)》  2017年 第02期 下载次数(43)| 被引次数(5)

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 Time-consistent Investment and Reinsurance Strategy for Mean-variance Insurers Under the Inside Information 

In this paper,we consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion,in which...
《Acta Mathematicae Applicatae Sinica》  2016年 第04期 下载次数(14)| 被引次数(0)

Optimal Reinsurance and Investment Strategies for Insurers with Regime-Switching and State-Dependent Utility Function 

This paper considers a proportional reinsurance-investment problem and an excess-of-loss reinsurance-investment problem for an insurer,where price processes of ...
《Journal of Systems Science & Complexity》  2016年 第06期 下载次数(13)| 被引次数(1)

Optimal proportional reinsurance and dividend payments with transaction costs and internal competition 

We study the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside company and t...
《Applied Mathematics:A Journal of Chinese Universitie…》  2016年 第01期 下载次数(45)| 被引次数(2)

Optimal Reinsurance Under Distortion Risk Measures and Expected Value Premium Principle for Reinsurer 

This paper discusses optimal reinsurance strategy by minimizing insurer s risk under one general risk measure:Distortion risk measure.The authors assume that th...
《Journal of Systems Science & Complexity》  2015年 第01期 下载次数(71)| 被引次数(4)

Minimizing the Risk of Absolute Ruin Under a Diffusion Approximation Model with Reinsurance and Investment 

This paper studies the optimization problem with both investment and proportional reinsurance control under the assumption that the surplus process of an insura...
《Journal of Systems Science & Complexity》  2015年 第01期 下载次数(30)| 被引次数(3)

Empirical study on optimal reinsurance for crop insurance in China from an insurer's perspective 

This study investigates the optimal reinsurance for crop insurance in China in an insurer s perspective using the data from Inner Mongolia, Jilin, and Liaoning,...
《Journal of Integrative Agriculture》  2015年 第10期 下载次数(58)| 被引次数(0)

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(64)| 被引次数(6)

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 WITH CONSTANT DIVIDEND BARRIER 

In this article, we consider an optimal proportional reinsurance with constant dividend barrier. First, we derive the Hamilton-Jacobi-Bellman equation satisfied...
《Acta Mathematica Scientia》  2010年 第03期 下载次数(43)| 被引次数(4)

共找到相关记录476条12345678910下一页