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Efficiency Evaluation of Insurance Companies From Multiperiod Perspective
期刊论文
IEEE TRANSACTIONS ON COMPUTATIONAL SOCIAL SYSTEMS, 2023, 页码: 19
作者:
Xie, Qiwei
;
Zhao, Mengfan
;
Li, Rong
;
Li, Wen
;
Zheng, Xiaolong
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  |  
浏览/下载:6/0
  |  
提交时间:2023/11/16
DEA
insurance companies
leader-follower model
multiple periods
The evolution and determinants of Chinese property insurance companies’ profitability: A DEA-based perspective
期刊论文
Journal of Management Science and Engineering, 2021, 期号: online, 页码: online
作者:
Zhao, Tengyu
;
Pei, Ruimin
;
Pan, Jiaofeng
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  |  
浏览/下载:4/0
  |  
提交时间:2022/03/01
Data envelopment analysisProfit ratio change indexChinese insurance industryTobit regression
Risk minimization for an insurer with investment and reinsurance via g-expectation
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019, 卷号: 48, 期号: 20, 页码: 5012-5035
作者:
Chen, Fenge
;
Peng, Xingchun*
;
Wang, Wenyuan
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  |  
浏览/下载:13/0
  |  
提交时间:2019/12/04
Investment
reinsurance
g-expectation
stochastic maximum principles
Malliavin calculus
Mean-variance problem for an insurer with default risk under a jump-diffusion risk model.
期刊论文
Communications in Statistics: Theory & Methods, 2019, 卷号: Vol.48 No.17, 页码: 4221-4249
作者:
Wang, Suxin
;
Rong, Ximin
;
Zhao, Hui
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  |  
浏览/下载:15/0
  |  
提交时间:2019/11/21
Defaultable bond
Hamilton-Jacobi-Bellman equation
investment and reinsurance
mean-variance criterion
viscosity 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
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/05
Risk minimization for an insurer with investment and reinsurance via g-expectation
期刊论文
Communications in Statistics - Theory and Methods, 2019, 卷号: 48, 期号: 20
作者:
Chen, Fenge
;
Peng, Xingchun
;
Wang, Wenyuan
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  |  
浏览/下载:3/0
  |  
提交时间:2019/12/05
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
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  |  
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 investment and risk control for an insurer with partial information in an anticipating environment
期刊论文
SCANDINAVIAN ACTUARIAL JOURNAL, 2018, 卷号: 2018, 期号: 10, 页码: 933-952
作者:
Peng, Xingchun
;
Chen, Fenge*
;
Wang, Wenyuan
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  |  
浏览/下载:2/0
  |  
提交时间:2019/12/04
Investment
Malliavin calculus
anticipating environment
forward integrals
partial information
risk control
STOCHASTIC MAXIMUM PRINCIPLE FOR PARTIAL INFORMATION OPTIMAL INVESTMENT AND DIVIDEND PROBLEM OF AN INSURER
期刊论文
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2018, 卷号: 14, 页码: 653-671
作者:
Wang, Yan
;
Zhao, Yanxiang
;
Wang, Lei
;
Song, Aimin
;
Ma, Yanping
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/12/02
Optimal investment
dividend
insurance claim process
maximum principle
regular-singular stochastic control
partial information
Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
期刊论文
APPLIED MATHEMATICAL MODELLING, 2018, 卷号: 58, 页码: 254-269
作者:
Wang, Yan
;
Wang, Lei
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/02
Stochastic differential game
Forward-backward stochastic differential equations
Maximum principle
Regular-singular control
Model uncertainty
Asymmetry informations
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