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Elsevier电子期刊(67)
在“
Elsevier电子期刊
”中,
命中:
67
条,耗时:小于0.01 秒
在所有数据库中总计命中:
111
条
1.
Optimal
reinsurance
and investment strategies for insurers with mispricing and model ambiguity
作者:
Ailing Gu
a
;
ailing727@sohu.com
;
Frederi G. Viens
b
;
viens@msu.edu
;
Bo Yi
c
;
d
;
byi@szvc.com.cn
关键词:
Proportional
reinsurance
;
Robust control
;
Optimal investment strategy
;
Utility function
;
Mispricing
刊名:Insurance: Mathematics and Economics
出版年:2017
2.
Optimal investment and
proportional
reinsurance
for a jump-diffusion risk model with constrained control variables
作者:
Ya Huang
a
;
Xiangqun Yang
b
;
Jieming Zhou
b
;
zhjm04101@126.com" class="auth_mail" title="E-mail the corresponding author
关键词:
Hamilton&ndash
;
Jacobi&ndash
;
Bellman equation
;
Jump&ndash
;
diffusion process
;
Exponential utility
;
Investment
;
Proportional
reinsurance
刊名:Journal of Computational and Applied Mathematics
出版年:2016
3.
Optimal
reinsurance
policies with two reinsurers in continuous time
作者:
Hui Meng
a
;
b
;
menghuidragon@126.com" class="auth_mail" title="E-mail the corresponding author
;
Ming Zhou
a
;
mzhou.act@gmail.com" class="auth_mail" title="E-mail the corresponding author
;
Tak Kuen Siu
c
;
Ken.Siu@mq.edu.au" class="auth_mail" title="E-mail the corresponding author
;
ktksiu2005@gmail.com" class="auth_mail" title="E-mail the corresponding author
关键词:
Expected value premium principle
;
Variance premium principle
;
Ruin probability
;
Proportional
reinsurance
;
Excess of loss
reinsurance
;
Dynamic programming principle
;
Heavy-tailed claims
刊名:Economic Modelling
出版年:2016
4.
Constrained investment-
reinsurance
optimization with regime switching under variance premium principle
作者:
Lv Chen
a
;
chenlvhero@sina.com
;
Linyi Qian
a
;
lyqian@stat.ecnu.edu.cn
;
Yang Shen
b
;
skyshen87@gmail.com
;
Wei Wang
c
;
wswang2008@163.com
关键词:
Investment
;
Reinsurance
;
Regime switching
;
Variance premium principle
;
Hamilton&ndash
;
Jacobi&ndash
;
Bellman equation
刊名:Insurance: Mathematics and Economics
出版年:2016
5.
A pair of optimal
reinsurance
-investment strategies in the two-sided exit framework
作者:
David Landriault
a
;
david.landriault@uwaterloo.ca
;
Bin Li
a
;
bin.li@uwaterloo.ca
;
Danping Li
b
;
lidanping@tju.edu.cn
;
Dongchen Li
a
;
d65li@uwaterloo.ca
关键词:
Optimal
reinsurance
&ndash
;
investment problem
;
Two-sided exit framework
;
Hamilton&ndash
;
Jacobi&ndash
;
Bellman (HJB) equation
;
Legendre transform
;
Ruin probability
刊名:Insurance: Mathematics and Economics
出版年:2016
6.
Alpha-robust mean-variance
reinsurance
-investment strategy
作者:
Bin Li
a
;
bin.li@uwaterloo.ca" class="auth_mail" title="E-mail the corresponding author
;
Danping Li
b
;
lidanping@tju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
Dewen Xiong
c
;
xiongdewen@sjtu.edu.cn" class="auth_mail" title="E-mail the corresponding author
关键词:
α-Maxmin utility
;
Robust
reinsurance
-investment problem
;
Mean-variance criterion
;
Time-consistent equilibrium strategy
;
Lé
;
vy insurance model
刊名:Journal of Economic Dynamics and Control
出版年:2016
7.
Time-consistent investment-
reinsurance
strategy for mean-variance insurers with a defaultable security
作者:
Hui Zhao
a
;
zhaohuimath@tju.edu.cn" class="auth_mail" title="E-mail the corresponding author
;
Yang Shen
b
;
skyshen87@gmail.com" class="auth_mail" title="E-mail the corresponding author
;
Yan Zeng
c
;
zengy36@mail.sysu.edu.cn" class="auth_mail" title="E-mail the corresponding author
关键词:
Defaultable bond
;
Time-consistent strategy
;
Investment and
reinsurance
;
Mean-variance criterion
;
Insurer
刊名:Journal of Mathematical Analysis and Applications
出版年:2016
8.
Robust optimal portfolio and
proportional
reinsurance
for an insurer under a CEV model
作者:
Xiaoxiao Zheng
a
;
xxzh1022@163.com" class="auth_mail" title="E-mail the corresponding author
;
Jieming Zhou
b
;
zhjm04101@126.com" class="auth_mail" title="E-mail the corresponding author
;
Zhongyang Sun
a
;
zysun_nk@126.com" class="auth_mail" title="E-mail the corresponding author
关键词:
Robust control
;
Hamilton&ndash
;
Jacobi&ndash
;
Bellman&ndash
;
Isaacs equation
;
Exponential utility
;
Constant elasticity of variance
;
Cramé
;
r&ndash
;
Lundberg risk model
刊名:Insurance: Mathematics and Economics
出版年:2016
9.
Optimal
reinsurance
under dynamic VaR constraint
作者:
Nan Zhang
;
Zhuo Jin
;
Shuanming Li
;
shli@unimelb.edu.au
;
Ping Chen
关键词:
HJB equation
;
Dynamic Value-at-Risk (VaR)
;
Conditional Value-at-Risk (CVaR)
;
Worst-case CVaR (wcCVaR)
;
Survival probability
刊名:Insurance: Mathematics and Economics
出版年:2016
10.
Optimal
proportional
reinsurance
with common shock dependence
作者:
Kam Chuen Yuen
a
;
Zhibin Liang
b
;
liangzhibin111@hotmail.com" class="auth_mail" title="E-mail the corresponding author
;
Ming Zhou
c
关键词:
Dependent risks
;
Hamilton&ndash
;
Jacobi&ndash
;
Bellman equation
;
Compound Poisson process
;
Brownian motion
;
Exponential utility
;
Proportional
reinsurance
刊名:Insurance: Mathematics and Economics
出版年:2015
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