QQ客服 官方微博 反馈留言

浏览/检索结果: 共7条，第1-7条 帮助 限定条件 专题：武汉理工大学    第一署名单位    第一作者单位    通讯作者单位     已选(0)清除 条数/页：5101520253035404550556065707580859095100   排序方式：请选择作者升序作者降序题名升序题名降序发表日期升序发表日期降序提交时间升序提交时间降序 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 收藏  |  浏览/下载：13/0  |  提交时间：2019/12/04 Investment  reinsurance  g-expectation  stochastic maximum principles  Malliavin calculus   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 收藏  |  浏览/下载：2/0  |  提交时间：2019/12/04 Investment  Malliavin calculus  anticipating environment  forward integrals  partial information  risk control   A note on joint occupation times of spectrally negative Lévy risk processes with tax 期刊论文 Statistics and Probability Letters, 2018, 卷号: 140, 页码: 13-22 作者:  Wang, Wenyuan;  Wu, Xueyuan*;  Peng, Xingchun;  Yuen, Kam C. 收藏  |  浏览/下载：4/0  |  提交时间：2019/12/04 Brownian motion with drift  Compound Poisson process  Loss-carry-forward taxation  Occupation time  Spectrally negative Lévy process   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* 收藏  |  浏览/下载：3/0  |  提交时间：2019/12/04 Optimal reinsurance  Distortion risk measure   Optimal investment and risk control for an insurer under inside information 期刊论文 Insurance: Mathematics and Economics, 2016, 卷号: 69, 页码: 104-116 作者:  Peng, Xingchun;  Wang, Wenyuan* 收藏  |  浏览/下载：4/0  |  提交时间：2019/12/04 97M30  91B70  60H30  Investment  Risk control  Inside information  Forward integral  Enlargement of filtration   Optimal investment, consumption and proportional reinsurance under model uncertainty 期刊论文 Insurance: Mathematics and Economics, 2014, 卷号: 59, 页码: 222-234 作者:  Peng, Xingchun*;  Chen, Fenge;  Hu, Yijun 收藏  |  浏览/下载：3/0  |  提交时间：2019/12/04 91G80  97M30  93E20  60H30  Investment  Consumption  Reinsurance  Model uncertainty  Stochastic maximum principle  Malliavin calculus   Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff 期刊论文 Insurance: Mathematics and Economics, 2014, 卷号: 59, 页码: 78-86 作者:  Peng, Xingchun*;  Wei, Linxiao;  Hu, Yijun 收藏  |  浏览/下载：7/0  |  提交时间：2019/12/04 97M30  91G80s  60H30  Investment  Consumption  Reinsurance  Backward stochastic differential equation  Malliavin calculus