Jingzhen Liu, Ph.D.
Affiliations: | 2010 | Hong Kong Polytechnic University (Hong Kong) |
Area:
Mathematics, Applied Mathematics, FinanceGoogle:
"Jingzhen Liu"Parents
Sign in to add mentor| Yiu Ka-Fai | grad student | 2010 | Hong Kong Polytechnic University (Hong Kong) | |
| (Risk Management in Finance and Insurance via Stochastic Optimization.) | ||||
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Publications
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| Liu J, Yiu KFC, Siu TK, et al. (2014) Optimal insurance in a changing economy Mathematical Control and Related Fields. 4: 187-202 |
| Liu J, Yiu KFC, Siu TK. (2014) Optimal investment of an insurer with regime-switching and risk constraint Scandinavian Actuarial Journal. 583-601 |
| Liu J, Yiu KFC, Loxton RC, et al. (2013) Optimal investment and proportional reinsurance with risk constraint Journal of Mathematical Finance. 3: 437-447 |
| Liu J, Yiu KC, Teo KL. (2013) Optimal investment-consumption problem with constraint Journal of Industrial and Management Optimization. 9: 743-768 |
| Liu J, Yiu KC. (2013) Optimal stochastic differential games with VaR constraints Discrete and Continuous Dynamical Systems-Series B. 18: 1889-1907 |
| Liu J, Yiu KCF, Siu TK, et al. (2013) Optimal investment-reinsurance with dynamic risk constraint and regime switching Scandinavian Actuarial Journal. 2013: 263-285 |
| Liu J, Yiu KFC, Siu TK. (2012) A decomposition method for optimal portfolios with regime-switching and risk constraint Risk and Decision Analysis. 3: 269-276 |
| Yiu KFC, Liu J, Siu TK, et al. (2010) Optimal portfolios with regime switching and value-at-risk constraint Automatica. 46: 979-989 |