2020
•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.
