2 citations · 3 across the 9 of their papers we have counts for
9 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…
Exploratory mean-variance portfolio selection with Choquet regularizers
Junyi Guo, Xia Han, Hao Wang
In this paper, we study a continuous-time exploratory mean-variance (EMV) problem under the framework of reinforcement learning (RL), and the Choquet regularizers are used to measu…
Optimal investment and reinsurance policies for the Cram{é}r-Lundberg risk model under monotone mean-variance preference
Bohan Li, Junyi Guo, Linlin Tian
In this paper, an optimization problem for the monotone mean-variance(MMV) criterion is considered in the perspective of the insurance company. The MMV criterion is an amended vers…
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…
Prokhorov distance with rates of convergence under sublinear expectations
Qianqian Zhou, Alexander Sakhanenko, Junyi Guo
Prokhorov distances under sublinear expectations are presented in CLT and functional CLT, and the convergence rates for them are obtained by Lindeberg method. In particular, the ob…