Shuanming Li

A scale function based approach for solving integral-differential equations in insurance risk models

Aili Zhang, Shuanming Li, Wenyuang Wang

Journal article  |  2023  |  Applied Mathematics and Computation

In risk theory, the resolutions of many interesting problems are reduced to solving some integro-differential equations (IDE), see..

Discrete-time risk models with surplus-dependent premium corrections

Dhiti Osatakul, Shuanming Li, Xueyuan Wu

Journal article  |  2023  |  APPLIED MATHEMATICS AND COMPUTATION

This paper studies discrete-time risk models with insurance premiums adjusted according to claims experience. The premium correcti..

A class of non-zero-sum stochastic differential games between two mean-variance insurers under stochastic volatility

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2022  |  PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES

This paper studies the open-loop equilibrium strategies for a class of non-zero-sum reinsurance–investment stochastic differential..

Bayesian Multivariate Mixed Poisson Models with Copula-Based Mixture

Pengcheng Zhang, Enrique Calderin-Ojeda, Shuanming Li, Xueyuan Wu

Journal article  |  2022  |  NORTH AMERICAN ACTUARIAL JOURNAL

It is common practice to use multivariate count modeling in actuarial literature when dealing with claim counts from insurance pol..

Stochastic asset allocation and reinsurance game under contagious claims

Guo Liu, Zhuo Jin, Shuanming Li, Jiannan Zhang

Journal article  |  2022  |  Finance Research Letters

In this paper, we consider a stochastic asset allocation and reinsurance game between two insurance companies with contagious clai..

Risk modelling on liquidations with Levy processes

Aili Zhang, Ping Chen, Shuanming Li, Wenyuan Wang

Journal article  |  2022  |  APPLIED MATHEMATICS AND COMPUTATION

In classical ruin theory, the time of ruin is defined as the time when the surplus of an insurance portfolio falls below zero. Thi..

On a Family of Log-Gamma-Generated Archimedean Copulas

Yaming Yang, Shuanming Li

Journal article  |  2022  |  North American Actuarial Journal

Modeling dependence structure among various risks, especially the measure of tail dependence and the aggregation of risks, is cruc..

OPTIMAL DIVIDEND STRATEGIES WITH REINSURANCE UNDER CONTAGIOUS SYSTEMIC RISK

MING QIU, ZHUO JIN, SHUANMING LI

Journal article  |  2022  |  SIAM JOURNAL ON CONTROL AND OPTIMIZATION

This paper studies the multidimensional mixed singular-regular stochastic control problems subject to reduced-form default driven ..

Risk modelling on liquidations with Levy processes

Aili Zhang, Ping Chen, Shuanming Li, Wenyuan Wang

Journal article  |  2022  |  APPLIED MATHEMATICS AND COMPUTATION

Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market

Guo Liu, Zhuo Jin, Shuanming Li

Journal article  |  2021  |  INSURANCE MATHEMATICS & ECONOMICS

We study an optimisation problem of a household under a contagious financial market. The market consists of a risk-free asset, mul..