Refereed Journals
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, 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.
• 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.
• 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.
• 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.
