叶德珠的论文在SSCI期刊Mathematical Problems in Engineering发表

2015-01-01 浏览次数:10 评论 0

  The paper of teacher Dezhu Ye from our Institute of Finance of Jinan University, “Optimal Investment and Reinsurance for Insurers with Uncertain Time-Horizon”, is published on Mathematical Problems in Engineering , June 2014, which is as one of the source journals of SSCI. The abstract of the paper is as follows: This paper considers the investment-reinsurance problems for an insurer with uncertain time-horizon in a jump-diffusion model and a diffusion-approximation model. In both models, the insurer is allowed to purchase proportional reinsurance and invest in a risky asset, whose expected return rate and volatility rate are both dependent on time and a market state. Meanwhile, the market state described by a stochastic differential equation will trigger the uncertain time-horizon. Specifically, a barrier is predefined and reinsurance and investment business would be stopped if the market state hits the barrier. The objective of the insurer is to maximize the expected discounted exponential utility of her terminal wealth. By dynamic programming approach and Feynman- Kac representation theorem, we derive the expressions for optimal value functions and optimal investment-reinsurance strategies in two special cases. Furthermore, an example is considered under the diffusion approximation model, which shows some interesting results.

  Mathematical Problems in Engineering is a peer-reviewed, open access journal. Contributions containing formulations or results related to applications are also encouraged. The primary aim of Mathematical Problems in Engineering is rapid publication and dissemination of important mathematical work which has relevance to engineering. All areas of engineering are within the scope of the journal. In particular, aerospace engineering, bioengineering, chemical engineering, computer engineering, electrical engineering, industrial engineering and manufacturing systems, and mechanical engineering are of interest. Mathematical work of interest includes, but is not limited to, ordinary and partial differential equations, stochastic processes, calculus of variations, and nonlinear analysis.

  The most recent Impact Factor for Mathematical Problems in Engineering is 0.762 according to 2014 Journal Citation Reports released by Thomson Reuters in 2015.

 

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