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Xin Zhang
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Cited by
Year
Optimal investment and reinsurance of an insurer with model uncertainty
X Zhang, TK Siu
Insurance: Mathematics and Economics 45 (1), 81-88, 2009
1062009
A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
X Zhang, RJ Elliott, TK Siu
SIAM Journal on Control and Optimization 50 (2), 964-990, 2012
1052012
Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
Z Sun, X Zheng, X Zhang
Journal of Mathematical Analysis and Applications 446 (2), 1666-1686, 2017
722017
Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
X Zhang, M Zhou, J Guo
Applied Stochastic Models in Business and Industry 23 (1), 63-71, 2007
702007
Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling
X Zhang, H Meng, Y Zeng
Insurance: Mathematics and Economics 67, 125-132, 2016
652016
Mean–variance portfolio selection under a constant elasticity of variance model
Y Shen, X Zhang, TK Siu
Operations Research Letters 42 (5), 337-342, 2014
532014
Optimal risk control for the excess of loss reinsurance policies
H Meng, X Zhang
ASTIN Bulletin: The Journal of the IAA 40 (1), 179-197, 2010
432010
A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
X Zhang, Z Sun, J Xiong
SIAM Journal on Control and Optimization 56 (4), 2563-2592, 2018
412018
Portfolio selection in the enlarged Markovian regime-switching market
X Zhang, TK Siu, Q Meng
SIAM Journal on Control and Optimization 48 (5), 3368-3388, 2010
382010
On optimal proportional reinsurance and investment in a Markovian regime-switching economy
X Zhang, TK Siu
Acta Mathematica Sinica 28 (1), 67-82, 2012
342012
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Z Sun, X Zhang, KC Yuen
Scandinavian Actuarial Journal 2020 (3), 218-244, 2020
282020
On a risk model with dependence between claim sizes and claim intervals
Q Meng, X Zhang, J Guo
Statistics & Probability Letters 78 (13), 1727-1734, 2008
282008
Markovian regime-switching market completion using additional Markov jump assets
X Zhang, RJ Elliott, TK Siu, J Guo
IMA Journal of Management Mathematics 23 (3), 283-305, 2012
212012
On the ruin problem in a Markov-modulated risk model
X Zhang
Methodology and Computing in Applied Probability 10 (2), 225-238, 2008
192008
Total duration of negative surplus for the dual model
M Song, R Wu, X Zhang
Applied stochastic models in business and industry 24 (6), 591-600, 2008
142008
Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems of Markovian regime switching system
X Zhang, X Li, J Xiong
ESAIM: Control, Optimisation and Calculus of Variations 27, 69, 2021
112021
Maximum Principle for Markov Regime-Switching Forward–Backward Stochastic Control System with Jumps and Relation to Dynamic Programming
Z Sun, J Guo, X Zhang
Journal of Optimization Theory and Applications 176 (2), 319-350, 2018
112018
Ruin probabilities for a risk model with two classes of claims
TL Lv, JY Guo, X Zhang
Acta Mathematica Sinica 26 (9), 1749-1760, 2010
112010
Optimal investment problem with delay under partial information
S Zhang, J Xiong, X Zhang
Mathematical Control & Related Fields 10 (2), 365, 2020
92020
Optimal Investment-Reinsurance Policy with Stochastic Interest and Inflation Rates
X Zhang, X Zheng
Mathematical Problems in Engineering 2019, 2019
92019
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