INSURER

作品数：24被引量：14H指数：2
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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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Equilibrium Reinsurance Strategy and Mean Residual Life Function
《Acta Mathematicae Applicatae Sinica》2024年第3期758-777,共20页Dan-ping LI Lv CHEN Lin-yi QIAN Wei WANG 
supported by the National Key R&D Program of China(2022YFA1007900);the National Natural Science Foundation of China(Nos.12271171,12171158,12071147,12001200);the Shanghai Philosophy Social Science Planning Office Project(Grant No.2022ZJB005);the Fundamental Research Funds for the Central Universities(2022QKT001);the State Key Program of National Natural Science Foundation of China(71931004);the Humanity and Social Science Foundation of Ningbo University(XPYB19002)。
In this paper,we analyze the relationship between the equilibrium reinsurance strategy and the tail of the distribution of the risk.Since Mean Residual Life(MRL)has a close relationship with the tail of the distributi...
关键词：mean residual life excess-of-loss reinsurance INSURER reinsurer stochastic control 
Risk-based Optimal Investment and Proportional Reinsurance of an Insurer with Hidden Regime Switching
《Acta Mathematicae Applicatae Sinica》2016年第3期755-770,共16页Xing-chun PENG Yi-jun HU 
Supported by the National Natural Science Foundation of China(No.11371284);the Fundamental Research Funds for the Central Universities(WUT:2015IVA066)
In this paper, we study the optimal investment and proportional reinsurance strategy for an insurer in a hidden Markov regime-switching environment. A risk-based approach is considered, where the insurer aims at selec...
关键词：INVESTMENT REINSURANCE hidden Markov chain convex risk measure backward stochastic differential equation 
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