Zhuo Jin

On a class of non-zero-sum stochastic differential dividend games with regime switching

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2021  |  Applied Mathematics and Computation

Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2021  |  Journal of Industrial & Management Optimization

This paper investigates a continuous-time mean-variance portfolio selection problem based on a log-return model. The financial mar..

OPTIMAL STOP-LOSS REINSURANCE WITH JOINT UTILITY CONSTRAINTS

Nan Zhang, Linyi Qian, Zhuo Jin, Wei Wang

Journal article  |  2021  |  Journal of Industrial & Management Optimization

Household consumption-investment-insurance decisions with uncertain income and market ambiguity

Ning Wang, Zhuo Jin, Tak Kuen Siu, Ming Qiu

Journal article  |  2021  |  Scandinavian Actuarial Journal

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

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

Zhuo Jin, Hailiang Yang, G Yin

Journal article  |  2021  |  Insurance Mathematics and Economics

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

Ning Wang, Nan Zhang, Zhuo Jin, Linyi Qian

Journal article  |  2021  |  Insurance Mathematics and Economics

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

T Wang, Z Jin, J Wei

Journal article  |  2021  |  Quantitative Finance

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

Optimal dividend strategy for an insurance group with contagious default risk

Zhuo Jin, Huafu Liao, Yue Yang, Xiang Yu

Journal article  |  2021  |  Scandinavian Actuarial Journal

This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is expo..