6 citations · 30 across the 63 of their papers we have counts for
7 papers · 1 filter
Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
Zongxia Liang, Lin He, Jiaoling Wu
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake…
Optimal control of a big financial company with debt liability under bankrupt probability constraints
Zongxia Liang, Bin Sun
This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments…
Optimal dividend and investing control of a insurance company with higher solvency constraints
Zongxia Liang, Jianping Huang
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-out…
Variational inequality method in stock loans
Zongxia Liang, Weiming Wu
In this paper we first introduce two new financial products: stock loan and capped stock loan. Then we develop a pure variational inequality method to establish explicitly the valu…
Optimization of dividend and reinsurance strategies under ruin probability constraint
Zongxia Liang, Jicheng Yao
This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maxi…
Stock loan with Automatic termination clause, cap and margin
Shuqing Jiang, Zongxia Liang, Weiming Wu
This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with p…