保险人和再保险人效用限制下最优再保险问题研究

11771147
2017
A0603.经济数学与金融数学
钱林义
面上项目
教授
华东师范大学
48万元
最优化准则;最优再保险;停止损失再保险;效用限制;成数再保险
2018-01-01到2021-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Reinsurance-investment game between two mean-variance insurers under model uncertainty 期刊论文 Wang Ning;Zhang Nan;Jin Zhuo;Qian Linyi
2 Modelling the aggregate loss for insurance claims with dependence 期刊论文 Wang Ning;Qian Linyi;Zhang Nan;Liu Zehui
3 Stochastic differential reinsurance games with capital injections 期刊论文 Zhang Nan;Jin Zhuo;Qian Linyi;Fan Kun
4 保险精算中最优投资再保险策略及产品定价问题的研究 奖励 危佳钦;范堃;毕俊娜;钱林义
5 Tontines with mixed cohorts 期刊论文 Chen An;Qian Linyi;Yang Zhixin
6 Pricing dynamic fund protections for a hyperexponential jump diffusion process 期刊论文 Qian Linyi;Jin Zhuo;Wang Wei;Chen Lyu
7 OPTIMAL LIABILITY RATIO AND DIVIDEND PAYMENT STRATEGIES UNDER CATASTROPHIC RISK 期刊论文 Qian Linyi;Chen Lyu;Tin Zhuo;Wang Rongming
8 Pricing and hedging equity-indexed annuities via local risk-minimization 期刊论文 Qian Linyi;Wang Wei;Wang Ning;Wang Shuai
9 Robust non-zero-sum investment and reinsurance game with default risk 期刊论文 Wang Ning;Zhang Nan;Jin Zhuo;Qian Linyi
10 Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints 期刊论文 Wang Ning;Zhang Nan;Jin Zhuo;Qian Linyi
11 OPTIMAL STOP-LOSS REINSURANCE WITH JOINT UTILITY CONSTRAINTS 期刊论文 Zhang Nan;Qian Linyi;Jin Zhuo;Wang Wei
12 Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering 期刊论文 王伟;沈洋;钱林义;杨芝新
13 Valuation of risk-based premium of DB pension plan with terminations 期刊论文 Qian Linyi;Shen Yang;Wang Wei;Yang Zhixin
14 Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer 期刊论文 Zhang Nan;Jin Zhuo;Qian Linyi;Wang Rongming
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