Shangzhen Luo, Ph.D.
Affiliations: | 2005 | University of Missouri - Columbia, Columbia, MO, United States |
Area:
Mathematics, FinanceGoogle:
"Shangzhen Luo"Parents
Sign in to add mentor| Allanus H. Tsoi | grad student | 2005 | University of Missouri - Columbia | |
| (Filtering of hidden weak Markov chain and its applications to finance.) | ||||
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Publications
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| Belkina T, Luo S. (2017) Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process The North American Actuarial Journal. 21: 36-62 |
| Luo S, Wang M. (2016) Barrier present value maximization for a diffusion model of insurance surplus Scandinavian Actuarial Journal. 2016: 905-931 |
| Luo S, Wang M, Zeng X. (2016) Optimal reinsurance: Minimize the expected time to reach a goal Scandinavian Actuarial Journal. 2016: 741-762 |
| Belkina T, Hipp C, Luo S, et al. (2014) Optimal constrained investment in the Cramer-Lundberg model Scandinavian Actuarial Journal. 383-404 |
| Zeng X, Luo S. (2013) Stochastic Pareto-optimal reinsurance policies Insurance Mathematics & Economics. 53: 671-677 |
| Luo S. (2012) On proportional reinsurance with a linear transaction rate Risk and Decision Analysis. 3: 115-137 |
| Luo S, Taksar M. (2012) Minimal cost of a Brownian risk without ruin Insurance: Mathematics and Economics. 51: 685-693 |
| Luo S, Taksar M. (2011) On absolute ruin minimization under a diffusion approximation model Insurance: Mathematics and Economics. 48: 123-133 |
| Luo S, Taksar M. (2010) Optimal excess-of-loss reinsurance under borrowing constraints Risk and Decision Analysis. 2: 103-123 |
| Luo S, Taksar M, Tsoi A. (2008) On reinsurance and investment for large insurance portfolios Insurance: Mathematics and Economics. 42: 434-444 |