相依风险模型中均值-方差最优投资-再保险问题的均衡策略

11871220
2018
A0603.经济数学与金融数学
毕俊娜
面上项目
教授
华东师范大学
48万元
再保险;马尔科夫调节风险模型;投资策略;精算模型;相依风险模型
2019-01-01到2022-12-31
  • 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 Asymptotic behavior for an additive functional of two independent self-similar Gaussian processes 期刊论文 David Nualart;Fangjun Xu
2 Behavioral mean-risk portfolio selection in continuous time via quantile 期刊论文 Junna Bi;Danping Li
3 Reinsurance-investment game between two mean-variance insurers under model uncertainty 期刊论文 Ning Wang;Nan Zhang;Zhuo Jin;Linyi Qian
4 基于新巴塞尔协议监管下保险人的均值-方差最优投资-再保险问题 期刊论文 毕俊娜;李旻瀚
5 Limit theorems for functionals of two independent Gaussian processes 期刊论文 Jian Song;Fangjun Xu;Qian Yu
6 Derivatives of local times for some Gaussian fields II 期刊论文 Minhao Hong;Fangjun Xu
7 On the dividends of the risk model with Markovian barrier 期刊论文 Meng Qingbin;Bi Junna
8 Equilibrium reinsurance-investment strategies with partial information and common shock dependence 期刊论文 Junna Bi;Jun Cai;Yan Zeng
9 Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles 期刊论文 Junna Bi;Danping Li;Nan Zhang
10 Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles 期刊论文 Junna Bi;Kailing Chen
11 保险精算中最优投资再保险策略及产品定价问题研究 奖励 危佳钦;范堃;毕俊娜;钱林义
12 Fractional stochastic wave equation driven by a Gaussian noise rough in space 期刊论文 Jian Song;Xiaoming Song;Fangjun Xu
13 Derivatives of local times for some Gaussian fields 期刊论文 Minhao Hong;Fangjun Xu
14 Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets 期刊论文 Junna Bi;Jun Cai
15 Modelling the aggregate loss for insurance claims with dependence 期刊论文 Wang Ning;Qian Linyi;Zhang Nan;Liu Zehui
16 Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk 期刊论文 Danping Li;Junna Bi;Mengcong Hu
17 概率扭曲下保险公司的均值-半方差最优投资及再保险问题 期刊论文 毕俊娜;胡济恩
18 Optimal mean-variance investment/reinsurance with common shock in a regime-switching market 期刊论文 Bi Junna;Liang Zhibin;Yuen Kam Chuen
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