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Shangzhen Luo, Ph.D. - Publications

Affiliations: 
2005 University of Missouri - Columbia, Columbia, MO, United States 
Area:
Mathematics, Finance
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10 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2017 Belkina T, Luo S. Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process The North American Actuarial Journal. 21: 36-62. DOI: 10.1080/10920277.2016.1246252  0.371
2016 Luo S, Wang M. Barrier present value maximization for a diffusion model of insurance surplus Scandinavian Actuarial Journal. 2016: 905-931. DOI: 10.1080/03461238.2015.1031165  0.353
2016 Luo S, Wang M, Zeng X. Optimal reinsurance: Minimize the expected time to reach a goal Scandinavian Actuarial Journal. 2016: 741-762. DOI: 10.1080/03461238.2015.1015161  0.347
2014 Belkina T, Hipp C, Luo S, Taksar M. Optimal constrained investment in the Cramer-Lundberg model Scandinavian Actuarial Journal. 383-404. DOI: 10.1080/03461238.2012.699001  0.378
2013 Zeng X, Luo S. Stochastic Pareto-optimal reinsurance policies Insurance Mathematics & Economics. 53: 671-677. DOI: 10.1016/J.Insmatheco.2013.09.006  0.339
2012 Luo S. On proportional reinsurance with a linear transaction rate Risk and Decision Analysis. 3: 115-137. DOI: 10.3233/Rda-2011-0034  0.386
2012 Luo S, Taksar M. Minimal cost of a Brownian risk without ruin Insurance: Mathematics and Economics. 51: 685-693. DOI: 10.1016/J.Insmatheco.2012.09.006  0.343
2011 Luo S, Taksar M. On absolute ruin minimization under a diffusion approximation model Insurance: Mathematics and Economics. 48: 123-133. DOI: 10.1016/J.Insmatheco.2010.10.004  0.39
2010 Luo S, Taksar M. Optimal excess-of-loss reinsurance under borrowing constraints Risk and Decision Analysis. 2: 103-123. DOI: 10.3233/Rda-2011-0029  0.361
2008 Luo S, Taksar M, Tsoi A. On reinsurance and investment for large insurance portfolios Insurance: Mathematics and Economics. 42: 434-444. DOI: 10.1016/J.Insmatheco.2007.04.002  0.598
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