周洁明｜上海电力大学｜学者主页

2026

Pricing vulnerable options under a Markov modulated jump-diffusion model with stochastic volatility and stochastic jump intensity

Qing Jiang, Jie-Ming Zhou, Zhongbao Zhou, Shengjie Yue

Communications in Statistics - Theory and Methods

DOI

2024

Identifying the generator matrix of a stationary Markov chain using partially observable data.

Xuyan Xiang, Jie-Ming Zhou, Ying-Chun Deng, Xiangqun Yang

Chaos

DOI

2024

Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown

Ya-Kun Liu, Jing-Chao Li, Jie-Ming Zhou, Ying-Chun Deng

Methodology and Computing in Applied Probability

DOI

2024

On Penalized Goal-Reaching Probability Minimization with a Common Shock for an AAI

Ying Huang, Ya Huang, Jie-Ming Zhou

Journal of Systems Science and Complexity

DOI

2024

Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction

Man Li, Ying Huang, Ya Huang, Jie-Ming Zhou

Mathematics and Financial Economics

DOI

2023

On the dual risk model with Parisian implementation delays under a mixed dividend strategy

K. Hu, Jingchao Li, Jie-Ming Zhou

Probability in the engineering and informational sciences (Print)

DOI

2022

Ruin-related problems in the dual risk model under two different randomized observations

Ying-Chun Deng, Kang Hu, Ya Huang, Hui Ou, Jie-Ming Zhou

Communications in Statistics - Theory and Methods

DOI

2022

Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework

Zi-Lan Liu, Yijun Wang, Ya Huang, Jie-Ming Zhou

Journal of Industrial and Management Optimization

DOI

2021

Taboo rate and hitting time distribution of continuous-time reversible Markov chains

Xuyan Xiang, Hai-Qin Fu, Jie-Ming Zhou, Ying-Chun Deng, Xiangqun Yang

Statistics and Probability Letters

DOI

2020

n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes

Ying-Chun Deng, Xuan Huang, Ya Huang, Xuyan Xiang, Jie-Ming Zhou

DOI

2020

Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond

Ying-Chun Deng, Man Li, Ya Huang, Jie-Ming Zhou

Communications in Statistics - Theory and Methods

DOI

2020

Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion

Yijun Wang, Ying-Chun Deng, Ya Huang, Jie-Ming Zhou, Xuyan Xiang

Communications in Statistics - Theory and Methods

DOI

2019

Optimal investment and risk control policies for an insurer in an incomplete market

Jie-Ming Zhou, Xiao-Ye Zhang, Ya Huang, Xuyan Xiang, Ying-Chun Deng

Optimization

DOI

2018

Dynamic risk measures for fluctuations in market volatility under Bochner-Lebesgue spaces

Fei Sun, Jing-Chao Li, Jie-Ming Zhou

2018

On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates

Ying-Chun Deng, Juan Liu, Ya Huang, Man Li, Jie-Ming Zhou

DOI

2018

Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities

Ya Huang, Yao Ouyang, Ling-Xiao Tang, Jie-Ming Zhou

Journal of Computational and Applied Mathematics

DOI

2017

Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer

Jie-Ming Zhou, Xiangqun Yang, Ya Huang

DOI

2017

Robust optimal investment and reinsurance problem for a general insurance company under Heston model

Ya Huang, Xiangqun Yang, Jie-Ming Zhou

Mathematical Methods of Operations Research

DOI

2017

Portfolio selection and risk control for an insurer in the Lévy market under mean–variance criterion

Jie-Ming Zhou, Xiangqun Yang, Junyi Guo

DOI

2016

Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables

Ya Huang, Xiangqun Yang, Jie-Ming Zhou

Journal of Computational and Applied Mathematics

DOI

2016

確率的金利と確率的ボラティリティのフレームワークにおけるロバスト最適ポートフォリオの組合せ【JST・京大機械翻訳】

Jie-Ming Zhou, Xiao-Xiao Zheng, Xin Zhang, Ya Huang

2016

OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET

Hui-Ming Zhu, Ya Huang, Jie-Ming Zhou, Xiangqun Yang, Chao Deng

DOI

2015

Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle

Jie-Ming Zhou, Ying-Chun Deng, Ya Huang, Xiangqun Yang

DOI

2015

On a discrete interaction risk model with delayed claims and randomized dividends

Juan Liu, Ya Huang, Xuyan Xiang, Jie-Ming Zhou

Communications in Statistics - Theory and Methods

DOI

2014

On the Expected Discounted Penalty Function for the Classical Risk Model with Potentially Delayed Claims and Random Incomes

Hui-Ming Zhu, Ya Huang, Xiangqun Yang, Jie-Ming Zhou

Journal of Applied Mathematics

DOI

2013

EXPECTED PRESENT VALUE OF TOTAL DIVIDENDS IN THE COMPOUND BINOMIAL MODEL WITH DELAYED CLAIMS AND RANDOM INCOME

Jie-Ming Zhou, Xiao-Yun Mo, Hui Ou, Xiangqun Yang

DOI

2013

Double-markov risk model

Xiao-Yun Mo, Jie-Ming Zhou, Hui Ou, Xiangqun Yang

DOI

2012

Equivalence Theorem and Probabilistic Structure for Markov-Dependence Risk Model

Hui Ou, Jie-Ming Zhou, Xiao-Yun Mo

2012

The Gerber–Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy

Chao Deng, Jie-Ming Zhou, Ying-Chun Deng

DOI

2012

The Compound Poisson Risk Model Perturbed by Diffusion with Double-Threshold Dividend Barriers to Shareholders and Policyholders

Jie-Ming Zhou

2011

Ruin probability for the negative risk model with the negative compound binomial process

Jie-Ming Zhou

周洁明

精选作品

期刊论文

Pricing vulnerable options under a Markov modulated jump-diffusion model with stochastic volatility and stochastic jump intensity

Identifying the generator matrix of a stationary Markov chain using partially observable data.

Optimal Investment and Reinsurance to Maximize the Probability of Drawup Before Drawdown

On Penalized Goal-Reaching Probability Minimization with a Common Shock for an AAI

Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction

On the dual risk model with Parisian implementation delays under a mixed dividend strategy

Ruin-related problems in the dual risk model under two different randomized observations

Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework

Taboo rate and hitting time distribution of continuous-time reversible Markov chains

n-Dimensional Laplace Transforms of Occupation Times for Pre-Exit Diffusion Processes

Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond

Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion

Optimal investment and risk control policies for an insurer in an incomplete market

Dynamic risk measures for fluctuations in market volatility under Bochner-Lebesgue spaces

On a discrete interaction risk model with delayed claims and stochastic incomes under random discount rates

Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities

Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer

Robust optimal investment and reinsurance problem for a general insurance company under Heston model

Portfolio selection and risk control for an insurer in the Lévy market under mean–variance criterion

Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables

確率的金利と確率的ボラティリティのフレームワークにおけるロバスト最適ポートフォリオの組合せ【JST・京大機械翻訳】

OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET

Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle

On a discrete interaction risk model with delayed claims and randomized dividends

On the Expected Discounted Penalty Function for the Classical Risk Model with Potentially Delayed Claims and Random Incomes

EXPECTED PRESENT VALUE OF TOTAL DIVIDENDS IN THE COMPOUND BINOMIAL MODEL WITH DELAYED CLAIMS AND RANDOM INCOME

Double-markov risk model

Equivalence Theorem and Probabilistic Structure for Markov-Dependence Risk Model

The Gerber–Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy

The Compound Poisson Risk Model Perturbed by Diffusion with Double-Threshold Dividend Barriers to Shareholders and Policyholders

Ruin probability for the negative risk model with the negative compound binomial process