INSURER

作品数：24被引量：14H指数：2
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相关领域：经济管理更多>>
相关作者：胡晓雨更多>>
相关机构：华东师范大学中国政法大学更多>>
相关期刊：《Journal of Donghua University(English Edition)》《Acta Mathematicae Applicatae Sinica》《应用概率统计》《Acta Mathematica Scientia》更多>>
相关基金：国家自然科学基金安徽省自然科学基金国家教育部博士点基金国家重点基础研究发展计划更多>>
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Optimal Investment Problem for an Insurer and a Reinsurer被引量：3
《Journal of Systems Science & Complexity》2015年第6期1326-1343,共18页LI Danping RONG Ximin ZHAO Hui 
supported by the National Natural Science Foundation of China under Grant Nos.11201335 and 11301376
This paper studies the optimal investment problem for an insurer and a reinsurer. The basic claim process is assumed to follow a Brownian motion with drift and the insurer can purchase proportional reinsurance from th...
关键词：Hamilton-Jacobi-Bellman equation optimal reinsurance and investment strategies proportional reinsurance ruin probability utility maximization 
Optimal Investment with Multiple Risky Assets for an Insurer with Modified Periodic Risk Process
《Journal of Systems Science & Complexity》2015年第4期997-1014,共18页ZHAO Hui RONG Ximin 
supported by the Natural Science Foundation of Tianjin under Grant No.09JCYBJC01800
This paper considers the optimal investment problem for an insurer in the sense of maximizing the adjustment coefficient of the risk process.The authors propose a modified periodic risk model in which the periodic ris...
关键词：Adjustment coefficient modified periodic risk model multiple risky assets optimalinvestment ruin probability. 
OPTIMAL MULTI-ASSET INVESTMENT WITH NO-SHORTING CONSTRAINT UNDER MEAN-VARIANCE CRITERION FOR AN INSURER被引量：3
《Journal of Systems Science & Complexity》2011年第2期291-307,共17页Junna BI Junyi GUO Lihua BAI 
This research is supported by the National Natural Science Foundation of China under Grant No. 10871102 and Speaialized Research Fund for the Doctoral Program of Higher Education under Grant No. 20090031110001.
This paper considers the optimal investment strategy for an insurer under the criterion of mean-variance. The risk process is a compound Poisson process and the insurer can invest in a risk-free asset and multiple ris...
关键词：HJB equation mean-variance portfolio selection optimal investment verification theorem viscosity solution. 
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