2024
Y.C. Chi, T. Hu, Z.J. Zhao, J.K. Zheng (2024). Optimal insurance design under asymmetric Nash bargaining.Insurance: Mathematics and Economics119, 194-209.
Y.C. Chi, Y.X. Huang, K.S. Tan (2024). An insurer's optimal strategy towards a new independent business.Scandinavian Actuarial Journal2024(1), 89-107.
Y.C. Chi, X.Y. Zhou, S.C. Zhuang (2024). Variance insurance contracts.Insurance: Mathematics and Economics115, 62-82.
B.W. Jia, L. Wang, H.Y. Wong (2024). Machine learning of surrender: Optimality and humanity.Journal of Risk and Insurance91(4), 915-942.
H. Jiang, Y.J. Pan, X. Wei (2024). Self-normalized Cramér-type moderate deviations for explosive Vasicek model. Journal of Theoretical Probability 37(1), 228-250.
马清萧,顾雪非,伍慧玲,付强(2024).物价水平和经济增长因素对我国人口死亡率变化趋势的影响研究.保险研究12:39-56.
H. Meng, Y.S.Y. Wang, M. Zhou (2024). Optimal reinsurance arrangement under heterogeneous beliefs: A unified method with piecewise modification.SIAM Journal on Financial Mathematics15(4), 1020-1046.
Y.C. Wang, J.Z. Liu, T.K. Siu (2024). Investment–consumption–insurance optimisation problem with multiple habit formation and non-exponential discounting.Finance and Stochastics28(1), 161-214.
X. Wei (2024). Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model.Chinese Journal of Applied Probability and Statistics (in Chinese)40(3), 378−397.
X. Wei, X.C, Gu, (2024). Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities.Methodology and Computing in Applied Probability26(2), 13.
H.L. Wu, P. Liao (2024). Optimal investment,consumption and annuitization time for post-retirement decision with subjective mortality probabilities. Journal of Management Sciences in China (in Chinese) 27(3), 71-90.
H.L. Wu, H. Pang, H.B. Dong (2024). Optimal investment choice and annuitization proportion post-retirement with mortality risk.Systems Engineering-Theory & Practice (in Chinese)44(8), 2666-2681.
W.L. Zhang, H. Meng (2024). Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle.Communications in Statistics-Theory and Methods53(1), 113-143.
郑敏,陈辉,刘子宁,张楠楠(2024).中国长期护理保险研究进展与展望.经济研究导刊(6), 98-104.
郑敏,郑苏晋,刘皖(2024).基于R-Vine Copula的财险公司经济资本度量与分散化效益研究.保险研究(6), 55-69.
2023
A. Andrikopoulos, M. Zheng (2023). A dynamic analysis of the neglected firm effect.International Review of Financial Analysis85, 102429.
Y.C. Chi, T. Hu, Y.X. Huang (2023). Optimal risk management with reinsurance and its counterparty risk hedging.Insurance: Mathematics and Economics113, 274-292.
H. Jiang, Y.J Pan, X. Wei (2023). Deviation inequalities and Cramér-type moderate deviations for non-ergodic α-Brownian bridge process.SCIENTIA SINICA Mathematica (in Chinese)53(8), 1105.
F.B. Li, H.L. Wu, H.X. Yao (2023). Multi-Period Telser’s Safety-First Portfolio Selection Problem in a Defined Contribution Pension Plan.Journal of Systems Science and Complexity36(3), 1189-1227.
F.B. Li, H.L. Wu, H.X. Yao (2023). Optimal Investment Choices Post-Retirement with Downside Risk Control.Journal of Systems Science and Mathematical Sciences (in Chinese)43(5): 1157-1176.
J.Z. Liu, Y.K. Wang, & N. Zhang (2023). Optimal reinsurance and dividend under model uncertainty.Journal of Systems Science and Complexity36(3), 1116-1143.
J.Z. Liu, S.Q. Yan, S. Jiang, J.Q. Wei (2023). Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation.Journal of Industrial and Management Optimization19(3), 2226–2250.
J.Z. Liu, K.F.C. Yiu, X. Li, T.K. Siu, K. L. Teo (2023). Mean-variance portfolio selection with random investment horizon.Journal of Industrial and Management Optimization19(7), 4726-4739.
H. Meng, L. Wei, M. Zhou (2023). Multiple per-claim reinsurance based on maximizing the Lundberg exponent.Insurance: Mathematics and Economics112, 33-47.
A.A. Shehadeh, M. Zheng (2023). Calendar anomalies in stock market returns: Evidence from Middle East countries. International Review of Economics & Finance 88, 962-980.
C.Z. Wang, M. Zheng, X.M. Bai, Y.W. Li, W. Shen (2023). Future of jobs in China under the impact of artificial intelligence. Finance Research Letters 55, 103798.
L. Wang, K.X. Chen, M.C. Chiu, H.Y. Wong (2023). Optimal expansion of business opportunity.European Journal of Operational Research309(1), 432-445.
Y.K. Wang, J.Z. Liu, J.Q. Wei (2023). Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach.Stochastics95(2), 235-265.
Y.S.Y. Wang, H. Meng (2023). Robust Optimal Per-loss Reinsurance Strategy for an Ambiguity-Averse Insurer.Chinese Journal of Applied Probability and Statistics (in Chinese)39(6), 859-878.
L.Y. Yu, L.Y. Lin, G.H. Guan, J.Z. Liu (2023). Time-consistent lifetime portfolio selection under smooth ambiguity.Mathematical Control and Related Fields13(3), 967-987.
2022
Y. Chi, Z.Q. Xu, S.C. Zhuang (2022). Distributionally robust goal-reaching optimization in the presence of background risk.North American Actuarial Journal26(3), 351-382.
Y. Chi, J. Zheng, S.C. Zhuang (2022). S-shaped narrow framing, skewness and the demand for insurance.Insurance: Mathematics and Economics105, 279-292.
Y. Chi, S.C. Zhuang (2022). Regret-based optimal insurance design.Insurance: Mathematics and Economics102, 22-41.
Ma, M. Zheng (2022). Heterogeneous firm dynamics and price setting behavior.Finance Research Letters46(B), 102383.
H. Meng, P. Wei, W. Zhang, S.C. Zhuang (2022). Optimal dynamic reinsurance under heterogeneous beliefs and CARA utility.SIAM Journal on Financial Mathematics13(3), 903-943.
伍慧玲,王静,王秀国,李婵娟(2022).带有通胀风险的退休后最优投资-年金化时刻决策.运筹与管理31(7), 124-130.
H. Yao, D. Li, H. Wu (2022). Dynamic trading with uncertain exit time and transaction costs in a general Markov market.International Review of Financial Analysis84, 102371.
Zhang, H. Meng (2022). Robust optimal investment-reinsurance strategies with the preferred reinsurance level of reinsurer.AIMS Mathematics7(6), 10024-10051.
2021
A.V. Asimit, T.J. Boonen, Y. Chi, W.F. Chong (2021). Risk sharing with multiple indemnity environments.European Journal of Operational Research295, 587-603.
Y. Chi, F.D. Liu (2021). Enhancing an insurer's expected value by reinsurance and external financing.Insurance: Mathematics and Economics101, 466-484.
Y. Chi, K.S. Tan (2021). Optimal incentive-compatible insurance with background risk.ASTIN Bulletin51(2), 661-688.
李晓林,陈辉(2021).保险思政课.中国经济出版社.
B. Liu, H. Meng, M. Zhou (2021). Optimal investment and reinsurance policies for an insurer with ambiguity aversion.North American Journal of Economics and Finance55, 101303.
J. Liu, Y. Wang, M. Zhou (2021). Utility maximization with habit formation of interaction.Journal of Industrial and Management Optimization17(3), 1451-1469.
孟辉,魏丽,周明(2021).模糊厌恶下保险人的鲁棒再保险策略.中国科学：数学11, 1-28.
王秀国,伍慧玲(2021).基于修正Black-Scholes金融市场和下方风险测度的动态投资组合优化.管理评论33(3), 14-28.
X. Wei (2021). Fourier-Cosine Expansion Method for Pricing Equity-Indexed Annuities under Lévy Models. InApplications of Lévy Processes, Edited by O. Kudryavstev and A. Zanette, Nova Science Publishers. Inc New York, Chapter 4, 125-144, 2021.
韦晓,李周雅雯(2021).银行间同业拆借利率的影响因素分析.金融论坛11(26), 6-16.
郑敏(2021).投资行为对房地产价格及其政策的影响.管理科学学报24(5), 97-109.
2020
A. Athanasios, X. Dassiou, M. Zheng (2020). Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX.International Review of Financial Analysis68, 101437.
J. Cai, Y. Chi (2020). Optimal reinsurance designs based on risk measures: A review. Statistical Theory and Related Fields4(1), 1-13.
Chi, K.S. Tan, S.C. Zhuang (2020). A Bowley solution with limited ceded risk for a monopolistic reinsurer.Insurance: Mathematics and Economics91, 188-201.
Y. Chi, W. Wei (2020). Optimal insurance with background risk: An analysis of general dependence structures.Finance and Stochastics24(4), 903-937.
Y. Chi, S.C. Zhuang (2020). Optimal insurance with belief heterogeneity and incentive compatibility.Insurance: Mathematics and Economics92, 104-114.
刘敬真,林荔圆,孟辉(2020).带消费习惯的最优消费，寿险和投资决策.应用数学学报43(3), 517-534.
J.Z. Liu, L. Lin, K.F.C. Yiu, J.Q. Wei (2020). Non-exponential discounting portfolio management with habit formation.Mathematical Control and Related Field10(4), 761-783.
周桦,卢志源,郑敏(2020).基于TEI@I方法的中国保险业保费收入预测.管理评论,32(7), 166-179.
•Liu,J.Z., Lin, L.Y, Yiu, K.F.C, Wei J.Q. Non-exponential discounting portfolio management with habit formation. Mathematical control and related field, (2020), In press
•Liu, J.Z, Wang, Y.K., Yiu, K.F.C, utility maximization with habit formation of interaction. Journal of industrial and management optimization. (2020) In press
2019
•Andrikopoulos, C. Wang, M. Zheng (2019). Is there still a weather anomaly? An investigation of stock and foreign exchange markets. Finance Research Letters 30, 51-59.
•Y.C. Chi (2019). On the optimality of a straight deductible under belief heterogeneity. ASTIN Bulletin 49(1), 243-262.
•J. Guo, Y. Li, M. Zheng (2019). Bottom-up sentiment and return predictability of the market portfolio. Finance Research Letters 29, 57-60.
•X. He, Y. Li, M. Zheng (2019). Heterogeneous agent models in financial markets: A nonlinear dynamics approach. International Review of Financial Analysis 62, 135-149.
•C.W. Lin, L. Zeng, H.L. Wu (2019). Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase. Journal of Industrial and Management Optimization 15(1): 401-427.
•Liu, J.Z., Yiu, K.F.C., & Bensoussan, A.(2019) Ergodic control for a mean reverting inventory model. Journal of industrial and management optimization. 2019, 14(3): 857-876.
•Liu, M. Zhou, P. Li (2019). Optimal investment and premium control for insurers with ambiguity. Communications in Statistics-Theory and Methods, DOI: 10.1080/03610926.2019.1568487.
•H.L. Wu, X.G. Wang, Y.Y. Liu, L. Zeng (2019). Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan. Journal of Industrial and Management Optimization, DOI: 10.3934/jimo.2019084.
•X. Zhang, H. Meng, J. Xiong, Y. Shen (2019). Robust optimal investment and reinsurance of an insurer under jump-diffusion models. Mathematical Control and Related Fields9(1), 59-76.
•S. Zheng, M, Zheng, W. Li (2019). Research on the minimum capital requirements and asset allocation of life insurance companies: Based on the perspective of market risk. Management Review (in Chinese) 31(10), 36-49.
2018
•Y. C. Chi (2018). Insurance choice under third degree stochastic dominance. Insurance: Mathematics and Economics 83, 198-205.
•Liu, J.Z., Liu, J.Z., Yiu, K.F.C., & Bensoussan, A.(2018) Inventory control with given continuous replenishment and (s,S) policy. SIAM Journal on Control and Optimization. 2018 56(1): 53-74.
•Liu, J.Z., Yiu, K.F.C., & Bensoussan, A. (2018)optimality of (s,S) policies with nonlinear processes. 2018. Discrete and Continuous Dynamical Systems-Series B, 22(1),161-185.
•Y.C. Chi, W. Wei (2018). Optimum insurance contracts with background risk and higher-order risk attitudes. ASTIN Bulletin 48(3), 1025-1047.
•L. Gouden’ege, A. Molent, X. Wei, A. Zanette (2018). Fourier cosine method for pricing and hedging insurance derivatives. Theoretical Economics Letters 8, 213-229.
•P. Li, M. Zhou, H. Meng (2018). Optimal stochastic impulse and regular control for capital injections: a hybrid strategy (in Chinese). Sci Sin Math. 48(4),565-578.
•X.L. Li (2018). Achievements of China's Insurance actuarial science in the 40 Years of reform and opening up. Insurance Research 12,110-117.
•X.L. Li (2018). Conspiring for the healthy development of the insurance industry under the new internet technology. Financial News.
•C. W. Lin, H.L. Wu (2018). Multiperiod Telser’s safety-first portfolio selection with regime switching. Discrete Dynamics in Nature and Society 2018: 1-18.
•H.L. Wu, H.B. Dong (2018). Optimal investment strategies post retirement with inflation risk (in Chinese). Systems Engineering-Theory & Practice 38(8), 1930-1945.
•H.L. Wu, C.G. Weng, Y. Zeng (2018). Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions. OR Spectrum 40, 541-582.
•M. Zheng, R. Liu and Y. Li (2018). Long memory in financial markets: A heterogeneous agent model perspective. International Review of Financial Analysis 58, 38-51.
•M. Zhou, J. Dhaene, J. Yao (2018). An approximation method for additive risk factor models and capital allocation rules. Insurance: Mathematics and Economics 79, 92-100.
2017
•C.X. Chen，X.J. Wang，M. Zhou. (2017). A survey of China Longevity risk: Models and risk management (in Chinese). Insurance Research 1, 46-55.
•Y. C. Chi, F.D. Liu (2017). Optimal insurance design in the presence of exclusion clauses. Insurance: Mathematics and Economics 76, 185-195.
•Y.C. Chi, X.S. Lin, K.S. Tan (2017). Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle. North American Actuarial Journal 21(3), 417-432.
•Y.C. Chi, M. Zhou (2017). Optimal reinsurance design: A mean-variance approach. North American Actuarial Journal 21(1), 1-14.
•N. Privault, X. Wei (2017). Fast Computation of Risk Measures for Variable Annuities with additional Earnings by Conditional Moment Matching. Astin Bulletin 17(4), 1-26.
•H. Meng, T. K. Siu, H.L. Yang (2017). A note on optimal insurance risk control with multiple reinsurance. Journal of Computational and Applied Mathematics 319, 38-42.
•H. Meng, M. Zhou, J.C. Dong (2017). Optimal reinsurance strategy under return of risk-adjusted capital” (In Chinese). Operations Research and Management Science 26(11), 129-133.
•M. Zheng, H. Wang, C. Wang and S. Wang, “Speculative behavior in a housing market: Boom and bust”, Economic Modelling, 2017, Vol. 61, 50-64.
•M. Zhou, K. C. Yuen, C. C. Yin (2017). Optimal investment and premium control for insurers with a nonlinear diffusion model. Acta Mathematicae Applicatae Sinica (English Series) 33(4), 945-958.
•M. Zheng, H. Wang, C. Wang and S. Wang (2017). Speculative behavior in a housing market: Boom and bust. Economic Modelling 61, 50-64.
2016
•X. Chen, Y. Chi, K.S. Tan (2016). The design of an optimal retrospective rating plan. ASTIN Bulletin 46(1), 141-163.
•Y.C. Chi, M. Zhou (2016). Optimal reinsurance design: a mean-variance approach. The North American Actuarial Journal 2016, 1-14.
•X.L. Li (2016). Viewing “going global” from Chinese mergers and acquisitions of American insurance companies. Financial News.
•X.L. Li (2016). The risks of the network mutual assistance platform cannot be ignored. China Insurance News.
•X.L. Li (2016). In-depth cooperation to build a shared and win-win insurance service system. Financial News.
•Liu, J.Z., Yiu, K.F.C., & Bensoussan, A. (2016). The optimal mean variance problem with inflation. Journal of industrial and management optimization, 21(1), 185-203. doi:10.3934/dcdsb.2016.21.185.
•H. Meng, M. Zhou, T. K. Siu (2016). Optimal reinsurance policies with two reinsurers in continuous time. Economic Modelling 59,182-195.
•H. Meng, D.M. Guo，M. Zhou (2016). Nonlinear impulse capital injections problem with reinsurance control (in Chinese). Sci Sin Math 46, 235-246.
•H. Meng, M. Zhou, T. K. Siu (2016). Optimal dividend-reinsurance with two types of premium principles. Probability in the Engineering and Informational Sciences 30, 224-243.
•H. Meng, T. K. Siu, H.L. Yang (2016). Optimal insurance risk control with multiple reinsurers. Journal of Computational and Applied Mathematics 306,40-52.
•H.L. Wu (2016). Optimal investment-consumption strategy under inflation in a Markovian regime-switching market. Discrete Dynamics in Nature and Society 2016, 1-17.
•H.L. Wu, H.B. Dong (2016). Multi-period mean-variance defined contribution pension management with inflation and stochastic income (in Chinese). Systems Engineering-Theory & Practice 36(3), 545-558.
•X. Zhang, H. Meng, Y. Zeng (2016). Optimal investment and reinsurance strategies for insurers with generalize mean-variance premium principle and no-short selling. Insurance: Mathematics and Economics 67, 125-132.
•M. Zheng, S. Zheng (2016). Survival analysis of boundedly rational investors based on the Kalman-Bucy filter. Chinese Journal of Management Science 24(1), 38-46.
2015
•V. Asimit, Y. Chi, J. Hu (2015). Optimal non-life reinsurance under Solvency II Regime. Insurance: Mathematics and Economics 65, 227-237.
•X. L. Li (2015). Insurance is the implementer of social governance. China Finance.
•H. Meng, S.M. Li, Z. Jin (2015). A reinsurance game between two insurance companies with nonlinear risk processes. Insurance: Mathematics and Economics 62,91-97.
•X. Wei, J. Yang (2015). An Empirical Investigation of Impact Factors for the Profit Performance of Regional Life Insurance Market in China. Journal of Transition Review Study 22(1), 39-54.
•H.L. Wu, L. Zhang, H. Chen (2015). Nash equilibrium strategies for a defined contribution pension management. Insurance: Mathematics and Economics 62, 202-214.
•H.L. Wu, Y. Zeng (2015). Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk. Insurance: Mathematics and Economics 64, 396–408.
•H.L. Wu, H. Chen (2015). Nash equilibrium strategy for a multi-period mean-variance portfolio selection problem with regime switching. Economic Modelling 46, 79-90.
•M. Zheng (2015). Heterogeneous beliefs, survival and market impact. Journal of Management Sciences in China 18(8), 73-82.
•M. Zheng (2015). Heterogeneous expectation and speculative behavior in insurance-linked securities. Discrete Dynamics in Nature and Society 2015, 1-12.
•M. Zhou, H. Meng, J.Y. Guo (2015). Optimal dividend policy: A regular-impulse stochastic control problem (in Chinese). Sci Sin Math 45, 1705-1724.
2014
•Y. Chi, H. Meng (2014). Optimal reinsurance arrangements in the presence of two reinsurers. Scandinavian Actuarial Journal 5, 424-438.
•Y. Chi, X.S. Lin (2014). Optimal reinsurance with limited ceded risk: A stochastic dominance approach. ASTIN Bulletin 44(1), 103-126.
•Liu, J.Z., Yiu, K.F.C, Siu, T.K., & Ching, W.K. (2014). Optimal insurance in a changing economy. Mathematical Control and Related Fields, 4(2), 187-202. doi:10.3934/mcrf.2014.4.187.
•Liu, J.Z., Yiu, K.F.C., & Siu, T.K. (2014). Optimal Investment of an Insurer with Regime-Switching and Risk Constraint. Scandinavian Actuarial Journal, 2014(7), 583-601. doi:10.1080/03461238.2012.750621.
•H. Meng, T. K. Siu (2014). Risk-based asset allocation under Markov –modulated pure jump processes. Stochastic Analysis and Applications 32,191-206.
•H.L. Wu, Y. Zeng, H.X. Yao (2014). Multi-period Markowitz's mean–variance portfolio selection with state-dependent exit probability. Economic Modelling 36, 69-78.
•Y. Zhu, Y. Chi, C. Weng (2014). Multivariate reinsurance designs for minimizing an insurer's capital requirement. Insurance: Mathematics and Economics 59, 144-155.
