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期刊论文 [42]
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On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2019, 卷号: 85
作者:
Jiang, Wenjun
;
Ren, Jiandong
;
Yang, Chen
;
Hong, Hanping
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/12/05
Cooperative game
Heterogeneous beliefs
Expected utility
Pareto-optimal reinsurance
Nash bargaining solution
Kalai-Smorodinsky bargaining solution
Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion
期刊论文
Communications in Statistics - Theory and Methods, 2019
作者:
Chen, Fenge
;
Peng, Xingchun
收藏
  |  
浏览/下载:2/0
  |  
提交时间:2019/12/05
Free boundary problem for a fully nonlinear and degenerate parabolic equation in an angular domain
期刊论文
JOURNAL OF DIFFERENTIAL EQUATIONS, 2019, 卷号: Vol.266 No.2-3, 页码: 1245-1284
作者:
Guan, Chonghu
;
Yi, Fahuai
;
Chen, Jing
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/13
Parabolic
Barenblatt
equation
Free
boundary
Angular
domain
Degenerate
Stochastic
optimal
control
Insurance
Reinsurance
Non-zero-sum stochastic differential reinsurance and investment games with default risk
期刊论文
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 卷号: 264, 期号: 3, 页码: 1144-1158
作者:
Deng, Chao
;
Zeng, Xudong
;
Zhu, Huiming
收藏
  |  
浏览/下载:7/0
  |  
提交时间:2019/08/22
Decision analysis
Game theory
Default risk
Reinsurance and investment
Heston volatility model
Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurerSCI原文链接
期刊论文
2018, 卷号: 57, 期号: 1-2, 页码: 85-104
作者:
Liu, Hongli[1]
;
Fang, Ying[1]
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/31
Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
期刊论文
Journal of Computational and Applied Mathematics, 2017, 卷号: 315, 页码: 142-160
作者:
Wang, Wenyuan
;
Peng, Xingchun*
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/04
Optimal reinsurance
Distortion risk measure
Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer
期刊论文
2017, 页码: 1-20
作者:
Liu, Hongli[1]
;
Fang, Ying[1]
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/12/31
Optimal reinsurance: minimize the expected time to reach a goal
期刊论文
SCANDINAVIAN ACTUARIAL JOURNAL, 2016, 期号: 8, 页码: 741-762
作者:
Luo, Shangzhen
;
Wang, Mingming
;
Zeng, Xudong
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  |  
浏览/下载:8/0
  |  
提交时间:2019/08/22
proportional reinsurance
diffusion approximation model
HJB equations
cheap/non-cheap reinsurance
stochastic control
Risk-based Optimal Investment and Proportional Reinsurance of an Insurer with Hidden Regime Switching
期刊论文
Acta Mathematicae Applicatae Sinica, 2016, 卷号: 32, 期号: 3, 页码: 755-770
作者:
Xing-chun PENG
;
Yi-jun HU
收藏
  |  
浏览/下载:3/0
  |  
提交时间:2019/12/04
investment
reinsurance
hidden Markov chain
convex risk measure
backward stochastic differential equation
A free boundary problem arising from a stochastic optimal control model under controllable risk
期刊论文
Journal of Differential Equations, 2016, 卷号: Vol.260 No.6, 页码: 4845-4870
作者:
Guan, Chonghu
;
Yi, Fahuai
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/03/04
Parabolic Barenblatt equation
Free boundary
Stochastic optimal control
Insurance company
Reinsurance
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