Zhuo Jin

Household Lifetime Strategies under a Self-Contagious Market

G Liu, Z Jin, S Li

Journal article  |  2021  |  European Journal of Operational Research

In this paper, we consider the optimal strategies in asset allocation, consumption, and life insurance for a household with an exo..

Reinsurance-investment game between two mean-variance insurers under model uncertainty

Ning Wang, Nan Zhang, Zhuo Jin, Linyi Qian

Journal article  |  2021  |  Journal of Computational and Applied Mathematics

Open-loop equilibrium strategy for mean–variance asset–liability management portfolio selection problem with debt ratio

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2020  |  Journal of Computational and Applied Mathematics

In this study, we consider a time-consistent mean–variance asset–liability management portfolio selection problem in which the lia..

Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time

Z Zhou, Z Jin

Journal article  |  2020  |  Insurance: Mathematics and Economics

This paper studies a time-inconsistent dividend problem in discrete time with nonexponential discounting. Motivated by the decreas..

OPTIMAL INSURANCE STRATEGIES: A HYBRID DEEP LEARNING MARKOV CHAIN APPROXIMATION APPROACH

Xiang Cheng, Zhuo Jin, Hailiang Yang

Journal article  |  2020  |  ASTIN Bulletin

This paper studies deep learning approaches to find optimal reinsurance and dividend strategies for insurance companies. Due to th..

Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes

J Wei, X Cheng, Z Jin, H Wang

Journal article  |  2020  |  Insurance: Mathematics and Economics

This paper presents a technique to solve the problem where a couple aims to optimize their consumption, investment, and life-insur..

Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks

Huai-Nian Zhu, Cheng-Ke Zhang, Zhuo Jin

Journal article  |  2020  |  Journal of Industrial & Management Optimization

This paper investigates a continuous-time Markowitz mean-variance asset-liability management (ALM) problem under stochastic intere..

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

Z Jin, G Liu, H Yang

Journal article  |  2020  |  European Journal of Operational Research

In this paper, we consider the optimal consumption and investment strategies for households throughout their lifetime. Risks such ..

Mean-variance portfolio selection with non-negative state-dependent risk aversion

T Wang, Z Jin, J Wei

Journal article  |  2020  |  Quantitative Finance

In this paper, we study the open-loop equilibrium strategy for mean-variance portfolio selection problem under the assumption that..

Optimal dividend policy with liability constraint under a hidden Markov regime-switching model

Jiaqin Wei, Zhuo Jin, Hailiang Yang

Journal article  |  2019  |  Journal of Industrial & Management Optimization

This paper deals with the optimal liability and dividend strategies for an insurance company in Markov regime-switching models. Th..