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Optimal reinsurance strategies in regime-switching jump diffusion models : stochastic differential game formulation and numerical methods

Jin, Zhuo; Yin, George; Wu, Fuke - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 733-746

Persistent link: https://www.econbiz.de/10010227891

Optimal reinsurance strategies in regime-switching jump diffusion models : stochastic differential game formulation and numerical methods

Jin, Zhuo; Yin, George; Wu, Fuke - 2013

Persistent link: https://www.econbiz.de/10010349104

A reinsurance game between two insurance companies with nonlinear risk processes

Meng, Hui; Li, Shuanming; Jin, Zhuo - In: Insurance / Mathematics & economics 62 (2015), pp. 91-97

Persistent link: https://www.econbiz.de/10011312085

Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation

Hillman, Timothy; Zhang, Nan; Jin, Zhuo - In: Risks : open access journal 6 (2018) 2, pp. 1-20

We extend an existing numerical model (Grasselli (2011)) for valuing a real option to invest in a capital project in an incomplete market with a finite time horizon. In doing so, we include two separate effects: the possibility that the project value is partly describable according to a...

Persistent link: https://www.econbiz.de/10011866522

Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

Jin, Zhuo; Liu, Guo; Yang, Hailiang - In: European journal of operational research : EJOR 280 (2020) 3, pp. 1130-1143

Persistent link: https://www.econbiz.de/10012132524

Stochastic differential reinsurance games with capital injections

Zhang, Nan; Jin, Zhuo; Qian, Linyi; Fan, Kun - In: Insurance / Mathematics & economics 88 (2019), pp. 7-18

Persistent link: https://www.econbiz.de/10012105353

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints

Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184

Persistent link: https://www.econbiz.de/10012482845

A hybrid deep learning method for optimal insurance strategies : algorithms and convergence analysis

Jin, Zhuo; Yang, Hailiang; Yin, George G. - In: Insurance / Mathematics & economics 96 (2021), pp. 262-275

Persistent link: https://www.econbiz.de/10012482892

A new equilibrium trading model with asymmetric information

Bao, Lianzhang; Zhao, Guangliang; Jin, Zhuo - In: Quantitative finance and economics 2 (2018) 1, pp. 217-229

Persistent link: https://www.econbiz.de/10012137920

A perturbation approach to optimal investment, liability ratio, and dividend strategies

Jin, Zhuo; Xu, Zuo Quan; Zou, Bin - In: Scandinavian actuarial journal 2022 (2022) 2, pp. 165-188

Persistent link: https://www.econbiz.de/10012872656