金融保险中的定价与随机控制问题

11771079
2017
A0603.经济数学与金融数学
张鑫
面上项目
教授
东南大学
48万元
期望效用理论;随机极大值原理;随机控制;动态规划原理;马尔科夫体制转换和传染模型
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 Optimal investment problem with delay under partial information 期刊论文 Shuaiqi Zhang;Jie Xiong;Xin Zhang
2 A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type 期刊论文 Xin Zhang;Zhongyang Sun;Jie Xiong
3 Markov调节中基于时滞和相依风险模型的最优再保险与投资 期刊论文 张彩斌;梁志彬;袁锦泉
4 Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure 期刊论文 Caibin Zhang;Zhibin Liang
5 Optimal reinsurance-investment and dividends problem with fixed transaction costs 期刊论文 Xin Zhang;Jie Xiong;Shuaiqi Zhang
6 Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system 期刊论文 Xin Zhang;Xun Li;Jie Xiong
7 Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option 期刊论文 Zhongyang Sun;Xin Zhang;Kam Chuen Yuen
8 Robust optimal investment and reinsurance of an insurer under Jump-diffusion models 期刊论文 Xin Zhang;Hui Meng;Jie Xiong;Yang Shen
9 A BSDE approach for bond pricing under interest rate models with self-exciting jumps 期刊论文 Zhongyang Sun;Xin Zhang;Yanan Li
10 Optimal Investment-Reinsurance Policy with Stochastic Interest and Inflation Rates 期刊论文 Xin Zhang;Xiaoxiao Zheng
11 Portfolio optimization for jump-diffusion risky assets with regime switching: A time-consistent approach 期刊论文 Caibin Zhang;Zhibin Liang;Kam Chuen Yuen
12 Bond and option pricing for interest rate model with clustering effects 期刊论文 Xin Zhang;Jie Xiong;Yang Shen
13 Optimal Portfolio and Consumption for a Markovian Regime-Switching Jump-Diffusion Process 期刊论文 Caibin Zhang;Zhibin Liang;Kam Chuen Yuen
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