Shuanming Li

Risk modelling on liquidations with Lévy processes

A Zhang, P Chen, S Li, W 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 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

This paper investigates a class of non-zero-sum stochastic differential game problems between two insurance companies. The surplus..

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 and Management Optimization

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

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..

Some State-Specific Exit Probabilities in a Markov-Modulated Risk Model

Jingchao Li, Shuanming Li

Journal article  |  2020  |  Mathematical Problems in Engineering

In this paper, we study some state-specific one-sided exit probabilities in a Markov-modulated risk process including the probabil..

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..

On a Family of Log-Gamma-Generated Archimedean Copulas

Y Yang, S Li

Journal article  |  2020  |  North American Actuarial Journal

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

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..