Showing math.OCShow all
3 papers · 1 filter
math.OC2021
Optimal defined contribution pension management with jump diffusions and common shock dependence
Xiaoyi Zhang, Linlin Tian
This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is proportional to the in…
math.OC2020
Minimizing the Ruin Probability under the Sparre Andersen Model
Linlin Tian, Lihua Bai
In this paper, we consider the problem of minimizing the ruin probability of an insurance company in which the surplus process follows the Sparre Andersen model. Similar to Bai et…
math.OC2020
Dividend Barrier Strategies in a Renewal Risk Model With Phase-Type Distributed Interclaim Times
Linlin Tian, Zhaoyang Liu
In this paper, we consider the optimal dividend problem of the renewal risk model with phase-type distributed interclaim times and exponentially distributed claim sizes. Assume tha…