Zhuo Jin

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 ..

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..

Stochastic differential reinsurance games with capital injections

N Zhang, Z Jin, L Qian, K Fan

Journal article  |  2019  |  Insurance: Mathematics and Economics

This paper investigates a class of reinsurance game problems between two insurance companies under the framework of non-zero-sum s..

Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump–diffusion models

T Bui, X Cheng, Z Jin, G Yin

Journal article  |  2019  |  Nonlinear Analysis: Hybrid Systems

This work develops an approximation procedure for a class of non-zero-sum stochastic differential investment and reinsurance games..

A Genetic Algorithm for Investment-Consumption Optimization with Value-at-Risk Constraint and Information-Processing Cost

Zhuo Jin, Zhixin Yang, Quan Yuan

Journal article  |  2019  |  Risks

This paper studies the optimal investment and consumption strategies in a two-asset model. A dynamic Value-at-Risk constraint is i..

Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions

Tianxiao Wang, Zhuo Jin, Jiaqin Wei

Journal article  |  2019  |  SIAM Journal on Control and Optimization

This paper aims to find the time-consistent equilibrium strategy for a mean-variance portfolio selection problem under a non-Marko..

Robust non-zero-sum investment and reinsurance game with default risk

N Wang, N Zhang, Z Jin, L Qian

Journal article  |  2019  |  Insurance: Mathematics and Economics

This paper investigates a non-zero-sum stochastic differential game between two competitive CARA insurers, who are concerned about..

Pricing longevity-linked derivatives using a stochastic mortality model

Y Wang, N Zhang, Z Jin, TL Ho

Journal article  |  2019  |  Communications in Statistics - Theory and Methods

We propose a 2-factor MBMM model with exponential Lévy process to develop a stochastic mortality process. The two components are f..

Approximation of optimal ergodic dividend strategies using controlled Markov chains

Zhuo Jin, Hailiang Yang, George Yin

Journal article  |  2018  |  IET Control Theory & Applications

Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer

Nan Zhang, Zhuo Jin, Linyi Qian, Rongming Wang

Journal article  |  2018  |  Journal of Computational and Applied Mathematics

Optimal investment and dividend payment strategies with debt management and reinsurance

Q Zhao, Z Jin, J Wei

Journal article  |  2018  |  Journal of Industrial and Management Optimization

OPTIMAL LIABILITY RATIO AND DIVIDEND PAYMENT STRATEGIES UNDER CATASTROPHIC RISK

Linyi Qian, Lyu Chen, Zhuo Tin, Rongming Wang

Journal article  |  2018  |  Journal of Industrial & Management Optimization

Real-Option Valuation in a Finite-Time, Incomplete Market with Jump Diffusion and Investor-Utility Inflation

Timothy Hillman, Nan Zhang, Zhuo Jin

Journal article  |  2018  |  Risks

Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model

Senren Tan, Zhuo Jin, G Yin

Journal article  |  2018  |  Nonlinear Analysis: Hybrid Systems

Optimal debt ratio and dividend strategies for an insurer under a regime-switching model

Qian Zhao, Zhuo Jin, Jiaqin Wei

Journal article  |  2018  |  Stochastic Models

This paper studies the optimal debt ratio and dividend strategy for an insurer under the model with the coefficients depending on ..

Pricing dynamic fund protections for a hyperexponential jump diffusion process

Linyi Qian, Zhuo Jin, Wei Wang, Lyu Chen

Journal article  |  2018  |  Communications in Statistics - Theory and Methods

A new equilibrium trading model with asymmetric information

Lianzhang Bao, Guangliang Zhao, Zhuo Jin

Journal article  |  2018  |  Quantitative Finance and Economics

A Numerical Approach to Optimal Dividend Policies with Capital Injections and Transaction Costse

Zhuo Jin, Hai-liang Yang, G Yin

Journal article  |  2017  |  ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES

MARKOWITZ'S MEAN-VARIANCE OPTIMIZATION WITH INVESTMENT AND CONSTRAINED REINSURANCE

Nan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2017  |  Journal of Industrial and Management Optimization

Optimal reinsurance under dynamic VaR constraint

Nan Zhang, Zhuo Jin, Shuanming Li, Ping Chen

Journal article  |  2016  |  Insurance: Mathematics and Economics

KOLMOGOROV-TYPE SYSTEMS WITH REGIME-SWITCHING JUMP DIFFUSION PERTURBATIONS

Fuke Wu, George Yin, Zhuo Jin

Journal article  |  2016  |  Discrete and Continuous Dynamical Systems - Series B

Pricing dynamic fund protections with regime switching

Zhuo Jin, Linyi Qian, Wei Wang, Rongming Wang

Journal article  |  2016  |  Journal of Computational and Applied Mathematics

Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models

Wei Wang, Zhuo Jin, Linyi Qian, Xiaonan Su

Journal article  |  2016  |  STOCHASTIC ANALYSIS AND APPLICATIONS

Optimal debt ratio and dividend payment strategies with reinsurance

Zhuo Jin, Hailiang Yang, G Yin

Journal article  |  2015  |  INSURANCE MATHEMATICS & ECONOMICS

Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks

Senren Tan, Zhuo Jin, Fuke Wu

Journal article  |  2015  |  ECONOMIC MODELLING

Optimal Debt Ratio and Consumption Strategies in Financial Crisis

Zhuo Jin

Journal article  |  2015  |  Journal of Optimization Theory and Applications

Some Recent Progress on Numerical Methods for Controlled Regime-Switching Models with Applications to Insurance and Risk Management

Zhuo Jin, Rebecca Stockbridge, George Yin

Journal article  |  2015  |  COMPUTATIONAL METHODS IN APPLIED MATHEMATICS

LOOKBACK OPTION PRICING FOR REGIME-SWITCHING JUMP DIFFUSION MODELS

Zhuo Jin, Linyi Qian

Journal article  |  2015  |  MATHEMATICAL CONTROL AND RELATED FIELDS

A reinsurance game between two insurance companies with nonlinear risk processes

Hui Meng, Shuanming Li, Zhuo Jin

Journal article  |  2015  |  Insurance: Mathematics and Economics

Capital injections with negative surplus and delays: Models and analysis

Z Jin, G Yin

Journal article  |  2014  |  Control Theory and Technology

ALMOST SURE AND pTH-MOMENT STABILITY AND STABILIZATION OF REGIME-SWITCHING JUMP DIFFUSION SYSTEMS

Xiaofeng Zong, Fuke Wu, George Yin, Zhuo Jin

Journal article  |  2014  |  SIAM JOURNAL ON CONTROL AND OPTIMIZATION

Numerical Methods for Singular and Impulse Controls of Regime-Switching Insurance Models

Z JIN, G Yin

Conference Proceedings  |  2014

This paper focuses on management of surplus and optimization the stream of dividend payment in a continuous time financial market...

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

Zhuo Jin, G Yin, Fuke Wu

Journal article  |  2013  |  Insurance: Mathematics & Economics

Numerical Methods for Optimal Dividend Payment and Investment Strategies of Markov-Modulated Jump Diffusion Models with Regular and Singular Controls

Zhuo Jin, G Yin

Journal article  |  2013  |  Journal of Optimization Theory and Applications

AN OPTIMAL DIVIDEND POLICY WITH DELAYED CAPITAL INJECTIONS

Zhuo Jin, George Yin

Journal article  |  2013  |  The ANZIAM Journal

Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections

Zhuo Jin, Hailiang Yang, G George Yin

Journal article  |  2013  |  Automatica

Numerical methods for optimal annuity purchasing and dividend optimization strategies under regime-switching models: Review of recent results

Z Jin, G Yin

Book Chapter  |  2013

Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation

Zhuo Jin, G Yin, Chao Zhu

Journal article  |  2012  |  Automatica

NUMERICAL METHODS FOR DIVIDEND OPTIMIZATION USING REGIME-SWITCHING JUMP-DIFFUSION MODELS

Zhuo Jin, George Yin, Hailiang Yang

Journal article  |  2011  |  Mathematical Control and Related Fields

Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation

Zhuo Jin, Yumin Wang, G Yin

Journal article  |  2011  |  Journal of Computational and Applied Mathematics

A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models

Zhuo Jin, G Yin

Journal article  |  2011  |  International Journal of Computer Mathematics

Asymptotically Optimal Dividend Policy for Regime-Switching Compound Poisson Models

G Yin, Zhuo Jin, Hailiang Yang

Journal article  |  2010  |  Acta Mathematica Applicata Sinica

Numerical methods for portfolio selection with bounded constraints

G Yin, Hanqing Jin, Zhuo Jin

Journal article  |  2009  |  Journal of Computational and Applied Mathematics