Shuanming Li

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..

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..

Generalized expected discounted penalty function at general drawdown for Lévy risk processes

Wenyuan Wang, Ping Chen, Shuanming Li

Journal article  |  2020  |  Insurance: Mathematics and Economics

This paper considers an insurance surplus process modeled by a spectrally negative Lévy process. Instead of the time of ruin in th..

On the Type I multivariate zero-truncated hurdle model with applications in health insurance

P Zhang, E Calderin, S Li, X Wu

Journal article  |  2020  |  Insurance: Mathematics and Economics

In the general insurance modeling literature, there has been a lot of work based on univariate zero-truncated models, but little h..

Beta transform and discounted aggregate claims under dependency

Zhehao Zhang, Shuanming Li

Journal article  |  2019  |  Annals of Actuarial Science

This paper starts with the Beta transform and discusses the stochastic ordering properties of this transform under different param..

The expected discounted penalty function: from infinite time to finite time

S Li, Y Lu, KP Sendova

Journal article  |  2019  |  Scandinavian Actuarial Journal

In this paper we study the finite-time expected discounted penalty function (EDPF) and its decomposition in the classical risk mod..

On the Moments and the Distribution of Aggregate Discounted Claims in a Markovian Environment

Shuanming Li, Yi Lu

Journal article  |  2018  |  Risks

This paper studies the moments and the distribution of the aggregate discounted claims (ADCs) in a Markovian environment, where th..

Distributional study of finite-time ruin related problems for the classical risk model

Shuanming Li, Yi Lu

Journal article  |  2017  |  Applied Mathematics and Computation

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

This paper deals with the optimal reinsurance strategy from an insurer’s point of view. Our objective is to find the optimal polic..