2 citations · 3 across the 8 of their papers we have counts for
10 papers
Robust Optimal Reinsurance, Investment,and Surplus Allocation for Epstein-Zin Preferences
Junyi Guo, Jianxuan Li, Qianqian Zhou
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive pref…
Some New Results on Gaussian Product Inequalities
Qian-Qian Zhou, Han Zhao, Ze-Chun Hu +1
The long-standing Gaussian product inequality (GPI) conjecture states that, for any centered -valued Gaussian random vector and any positive reals…
The infimum values of the probability functions for some infinitely divisible distributions motivated by Chvátal's theorem
Ze-Chun Hu, Peng Lu, Qian-Qian Zhou +1
Let denote a binomial random variable with parameters and . Chvátal's theorem says that for any fixed , as ranges over , the probabilit…
A study on the Weibull and Pareto distributions motivated by Chvátal's theorem
Cheng Li, Ze-Chun Hu, Qian-Qian Zhou
Let denote a binomial random variable with parameters and . Chvátal's theorem says that for any fixed , as ranges over , the probabilit…
Optimal Control of Investment for an Insurer in Two Currency Markets
Qianqian Zhou, Junyi Guo
In this paper, we study the optimal investment problem of an insurer whose surplus process follows the diffusion approximation of the classical Cramer-Lundberg model. Investment in…
Exponential bounds of ruin probabilities for non-homogeneous risk models
Qianqian Zhou, Alexander Sakhanenko, Junyi Guo
Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities…