57 citations · 84 across the 8 of their papers we have counts for
9 papers
A non-zero-sum game with reinforcement learning under mean-variance framework
Junyi Guo, Xia Han, Hao Wang +1
In this paper, we investigate a competitive market involving two agents who consider both their own wealth and the wealth gap with their opponent. Both agents can invest in a finan…
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Mi Chen, Kam Chuen Yuen, Wenyuan Wang
In this paper, we investigate the problem of optimal strategies of dividend and reinsurance under the Cramér-Lundberg risk model embedded with the thinning-dependence structure whi…
Profile and Globe Tests of Mean Surfaces for Two-Sample Bivariate Functional Data
Jin Yang, Tao Zhang, Chunling Liu +2
Multivariate functional data has received considerable attention but testing for equality of mean surfaces and its profile has limited progress. The existing literature has tested…
Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
Chuancun Yin, Kam Chuen Yuen
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practic…
Asymptotic results for tail probabilities of sums of dependent heavy-tailed random variables
Kam Chuen Yuen, Chuancun Yin
Let be a sequence of dependent heavy-tailed random variables with distributions on , and let be a nonnegative integer-valu…
On optimality of the barrier strategy for a general Levy risk process
Kam Chuen Yuen, Chuancun Yin
We consider the optimal dividend problem for the insurance risk process in a general Levy process setting. The objective is to find a strategy which maximizes the expected total di…
Convexity of ruin probability and optimal dividend strategies for a general Levy process
Chuancun Yin, Kam Chuen Yuen, Ying Shen
In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. T…
Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes
Ying Shen, Chuancun Yin, Kam Chuen Yuen
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid t…
Exact joint laws associated with spectrally negative Levy processes and applications to insurance risk theory
Chuancun Yin, Kam Chuen Yuen
We consider the spectrally negative Levy processes and determine the joint laws for the quantities such as the first and last passage times over a fixed level, the overshoots and u…