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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/303287
Description: This paper discusses a mean-variance portfolio selection problem under a constant elasticity of variance model. A backward stochastic Riccati equation is first considered. Then we relate the solution ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/191274
Description: A Bayesian adaptive control approach to the combined optimal investment/reinsurance problem of an insurance company is studied. The insurance company invests in a money market and a capital market ind ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/174857
Description: This paper develops a sufficient stochastic maximum principle for a stochastic optimal control problem, where the state process is governed by a continuous-time Markov regime-switching jump-diffusion ... More
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Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/179639
Description: In this paper, we discuss the use of some representation results for double martingales to value and hedge contingent claims in a Markovian regime-switching market. A set of N Markov jump assets is in ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/171084
Description: In this paper, the surplus of an insurance company is modeled by a Markovian regimeswitching diffusion process. The insurer decides the proportional reinsurance and investment so as to increase revenu ... More
Reviewed: Reviewed
Authors: Zhang, Xin | Meng, Hui
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/141068
Description: The primary objective of the paper is to explore using reinsurance as a risk management tool for an insurance company. We consider an insurance company whose surplus can be modeled by a Brownian motio ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/102447
Description: We study a portfolio selection problem in a continuous-time Markovian regimeswitching model. The market in this model is, in general, incomplete. We adopt a method to complete the market based on an e ... More
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Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/141053
Description: In this paper we consider a risk model with two kinds of claims, whose claims number processes are Poisson process and ordinary renewal process respectively. For this model, the surplus process is not ... More
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138029
Description: We introduce a novel approach to optimal investment–reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital mark ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/141059
Description: This paper constructs a model with a dependent setting where the time between two claim occurrences determines the distribution of the next claim size. We derive the exact expression of the survival p ... More
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Authors: Zhang, Xin
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/141056
Description: In this paper, we consider the compound Poisson risk model influenced by an external Markovian environment process, i.e. Markov-modulated compound Poisson model. The explicit Laplace transforms of Ger ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/141062
Description: In the dual model, we allow the surplus process to continue if the surplus falls below zero. By introducing the renewal measure of the defective renewal sequence constituted by the zero points of the ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/141067
Description: In this paper, we describe a large insurance company's surplus by a Brownian motion with positive drift, which is the approximation of a classical risk process. The problem of minimizing the probabili ... More
Reviewed: Reviewed
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