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Zhibin Liang
Nanjing Normal University
16Publications
8H-index
239Citations
Publications 16
Newest
#1Xia HanH-Index: 1
#2Zhibin LiangH-Index: 8
Last.Caibin ZhangH-Index: 1
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1 CitationsSource
#1Junna Bi (ECNU: East China Normal University)H-Index: 4
#2Zhibin Liang (Nanjing Normal University)H-Index: 8
Last.Kam Chuen Yuen (HKU: University of Hong Kong)H-Index: 20
view all 3 authors...
In this paper, we consider the problem of optimal investment-reinsurance with two dependent classes of insurance risks in a regime-switching financial market. In our model, the two claim-number processes are correlated through a common shock component, and the market mode is classified into a finite number of regimes. We also assume that the insurer can purchase proportional reinsurance and invest its surplus in a financial market, and that the values of the model parameters depend on the market...
Source
#1Zhibin Liang (Nanjing Normal University)H-Index: 8
#2Virginia R. Young (UM: University of Michigan)H-Index: 28
We find the optimal dividend strategy in two related risk models under an affine penalty for ruin. The first risk model is the classical Cramer–Lundberg risk model, and the second is the so-called dual risk model. Under both models, for exponentially distributed jumps, we show that the optimal dividend strategy is a barrier strategy and obtain the barrier explicitly. Moreover, we prove that the optimal barrier increases with respect to the parameters of the affine penalty, while the penalized va...
Source
#1Caibin Zhang (Nanjing Normal University)H-Index: 2
#2Zhibin Liang (Nanjing Normal University)H-Index: 8
Last.Kam Chuen Yuen (HKU: University of Hong Kong)H-Index: 20
view all 3 authors...
This paper studies an optimal dynamic proportional reinsurance in a risk model with two dependent classes of insurance business. Under the criterion of maximizing the mean–variance utility of the t...
Source
#1Xia Han (Nanjing Normal University)
#2Zhibin Liang (Nanjing Normal University)H-Index: 8
Last.Kam Chuen Yuen (HKU: University of Hong Kong)H-Index: 20
view all 3 authors...
AbstractIn this paper, we consider the optimal proportional reinsurance problem in a risk model with the thinning-dependence structure, and the criterion is to minimize the probability that the val...
Source
#1Wei Wei (HKU: University of Hong Kong)
#2Zhibin Liang (Nanjing Normal University)H-Index: 8
Last.Kam Chuen Yuen (HKU: University of Hong Kong)H-Index: 20
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This paper considers the problem of optimal reinsurance in a compound Poisson risk model with dependent classes of insurance business. It is assumed that the risk process in each class follows a compound Poisson process, and that all classes are correlated due to the so-called thinning-dependence structure. Under the criterion of maximizing the adjustment coefficient, methods for finding the optimal reinsurance strategies are discussed for both the expected value premium principle and the varian...
Source
#1Zhibin Liang (Nanjing Normal University)H-Index: 8
#2Kam Chuen Yuen (HKU: University of Hong Kong)H-Index: 20
Last.Caibin Zhang (Nanjing Normal University)H-Index: 2
view all 3 authors...
In this paper, we study the optimal reinsurance and investment problem in a financial market with jump-diffusion risky asset. It is assumed that the insurance risk model is modulated by a compound Poisson process, and that the jumps in both the risky asset and insurance risk process are correlated through a common shock. Under the criterion of maximizing the expected exponential utility, we adopt a nonstandard approach to examine the existence and uniqueness of the optimal strategy. Using the te...
3 CitationsSource
#1Junna Bi (ECNU: East China Normal University)H-Index: 4
#2Zhibin Liang (Nanjing Normal University)H-Index: 8
Last.Fangjun Xu (ECNU: East China Normal University)H-Index: 1
view all 3 authors...
In this paper, we study the optimal investment–reinsurance problems in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of mean–variance, two cases are considered: One is the optimal mean–variance problem with bankruptcy prohibition, i.e., the wealth process of the insurer is not allowed to be below zero at any time, which is solved by standard martingale approach, and the clos...
12 CitationsSource
#1Zhibin Liang (Nanjing Normal University)H-Index: 8
#2Junna Bi (ECNU: East China Normal University)H-Index: 4
Last.Caibin Zhang (Nanjing Normal University)H-Index: 2
view all 4 authors...
In this paper, we study the optimal reinsurance-investment problems in a financial market with jump-diffusion risky asset, where the insurance risk model is modulated by a compound Poisson process, and the two jump number processes are correlated by a common shock. Moreover, we remove the assumption of nonnegativity on the expected value of the jump size in the stock market, which is more economic reasonable since the jump sizes are always negative in the real financial market. Under the criteri...
8 CitationsSource
#1Zhibin Liang (Nanjing Normal University)H-Index: 8
#2Kam Chuen Yuen (HKU: University of Hong Kong)H-Index: 20
In this paper, we consider the optimal proportional reinsurance strategy in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. Under the criterion of maximizing the expected exponential utility with the variance premium principle, we adopt a nonstandard approach to examining the existence and uniqueness of the optimal reinsurance strategy. Using the technique of stochastic control theory, closed-for...
35 CitationsSource
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