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| 1 | Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models显示文摘The present paper studies time-consistent solutions to an investment-reinsurance problem under a mean-variance framework.The paper is distinguished from other literature by taking into account the interests of both an insurer and a reinsurer jointly.The claim process of the insurer is governed by a Brownian motion with a drift.A proportional reinsurance treaty is considered and the premium is calculated according to the expected value principle.Both the insurer and the reinsurer are assumed to invest in a risky asset,which is distinct for each other and driven by a constant elasticity of variance model.The optimal decision is formulated on a weighted sum of the insurer’s and the reinsurer’s surplus processes.Upon a verification theorem,which is established with a formal proof for a more general problem,explicit solutions are obtained for the proposed investment-reinsurance model.Moreover,numerous mathematical analysis and numerical examples are provided to demonstrate those derived results as well as the economic implications behind. | ZHAO Hui WENG ChengGuo SHEN Yang ZENG Yan | 2017 | Science China Mathematics2017，60，2： | 9 |
| 2 | Optimal rein- surance analysis from a crop insurer's perspective显示文摘 | Lysa Porth Ken Seng Tan Chengguo Weng | 2013 | Agricul-rural Finance Review2013，，2： | 1 |
| 3 | Optimal reinsurance under VaR and CTE risk measures显示文摘 | Cai Jun Tan Kenseng Weng Chengguo | 2008 | Insurance: Mathematics and Economics2008，43，1： | 1 |
| 4 | Optimal reinsurance under VaR and CTE risk measures显示文摘 | Jun Cai Ken Seng Tan Chengguo Weng | | 0，，： | 1 |
| 5 | An application of the a-power approximation in multiple life insurance显示文摘 | Zhang Yi Weng Chengguo | 2006 | Insurance: Mathematics and Economics2006，28，： | 1 |
| 6 | Optimal reinsurance under VaR and CTE risk measures显示文摘 | Jun Cai Ken Seng Tan Chengguo Weng Yi Zhang | 2008 | Insurance Mathematics and Economics2008，，1： | 1 |
| 7 | Approximation of the tail probability of randomly weighted sums and applications显示文摘 | Zhang Yi Shen Xinmei Weng Chengguo | 2009 | Stochastic Processes and their applications2009，119，： | 1 |
| 8 | Approximation of the tail probability of randomly weighted sums and applications 显示文摘 | Zhang Yi Shen Xinmei Weng Chengguo | 2009 | Stochastic Processes and their applications2009，119，： | 1 |
| 9 | VaR and CTE criteria for optimal quota-share and stop-loss reinsurance 显示文摘 | Tan K S Weng Chengguo Zhang Yi | 2009 | North American Actuarial Journal2009，13，4： | 1 |
| 10 | Study on Residual Oil HDS Process with Mechanism Model and ANN Model显示文摘Based on the Residual Oil Hydrodesulfurization Treatment Unit (S-RHT), the n-order reaction kinetic model for residual oil HDS reactions and artificial neural network (ANN) model were developed to determine the sulfur content of hydrogenated residual oil. The established ANN model covered 4 input variables, 1 output variable and 1 hidden layer with 15 neurons. The comparison between the results of two models was listed. The results showed that the predicted mean relative errors of the two models with three different sample data were less than 5% and both the two models had good predictive precision and extrapolative feature for the HDS process. The mean relative error of 5 sets of testing data of the ANN model was 1.62%—3.23%, all of which were smaller than that of the common mechanism model (3.47%— 4.13%). It showed that the ANN model was better than the mechanism model both in terms of fitting results and fitting difficulty. The models could be easily applied in practice and could also provide a reference for the further research of residual oil HDS process. | Ma Chengguo Weng Huixin (Research Center of Petroleum Processing, ECUST, Shanghai 200237) | 2009 | China Petroleum Processing & Petrochemical Technology2009，11，1： | 0 |
| 11 | Discussion on the paper‘Optimal reinsurance design based on risk measures:a review’by Yichun Chi and Jun Cai显示文摘1.General comment Let me start by acknowledging Dr Jun Shao’s(the Editor of the journal)invitation to participate in the discussion of the exciting reviewpaper,and congratulations to Dr Yichun Chi and Dr Jun Cai for their excellent work.It ismy honour to have the opportunity to present some of my personal views on the topic of optimal reinsurance design. | Chengguo Weng | 2020 | Statistical Theory and Related Fields2020，4，1： | 0 |
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