3 citations · 3 across the 7 of their papers we have counts for
7 papers
Equilibrium analysis in a multi-agent reinsurance chain
Kaizheng Wang, Wei Liu, Zhuo Jin +1
This paper investigates a multi-layer reinsurance chain within a stochastic differential game framework involving m competing insurers and n reinsurers. Specifically, Stackelberg d…
Entropy Regularized Reinforcement Learning for Zero-Sum Stochastic Differential Games in a Regime-Switching Jump-Diffusion Process
Congde Hu, Zhuo Jin, Danping Li +1
To address parameter misspecification and sudden structural environmental changes in conventional stochastic differential game (SDG) frameworks, this paper introduces a distributio…
Optimal moral-hazard-free reinsurance under extended distortion premium principles
Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only…
A Perturbation Approach to Optimal Investment, Liability Ratio, and Dividend Strategies
Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend pa…
Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk
Zhuo Jin, Huafu Liao, Yue Yang +1
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default cont…
Approximation of A Class of Non-Zero-Sum Investment and Reinsurance Games for Regime-Switching Jump-Diffusion Models
Trang Bui, Xiang Cheng, Zhuo Jin +1
This work develops an approximation procedure for a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. Both proportiona…
Numerical Solutions of Optimal Risk Control and Dividend Optimization Policies under A Generalized Singular Control Formulation
Zhuo Jin, George Yin, Chao Zhu
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff fun…