Jinxia Zhu

Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales

Lecturer

Australia

SCHOLARLY PAPERS

6

DOWNLOADS

225

CITATIONS

2

Scholarly Papers (6)

1.

Ruin Probabilities for the Perturbed Compound Poisson Risk Process with Investment

Number of pages: 21 Posted: 29 Apr 2011 Last Revised: 03 Apr 2013
Jinxia Zhu, Hailiang Yang and K. W. Ng
Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales, The University of Hong Kong and The University of Hong Kong - Department of Statistics & Actuarial Science
Downloads 50 (333,098)

Abstract:

Asymptotic behavior, Brownian motion, Compound Poisson, Force of interest

2.

Dividend Optimization for a Regime-Switching Diffusion Model with Restricted Dividend Rates

Number of pages: 29 Posted: 04 Apr 2013
Jinxia Zhu
Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales
Downloads 34 (348,219)

Abstract:

Dividends, optimization, regime-switching, restricted dividend rate, threshold strategy

3.

Dividend Optimization under Reserve Constraints for the Cramér-Lundberg Model Compounded by Force of Interest

Number of pages: 33 Posted: 04 Apr 2013
Jinxia Zhu and Feng Chen
Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales and UNSW Australia Business School, School of Accounting
Downloads 34 (368,230)

Abstract:

Cramér-Lundberg model, Dynamic programming principle, Hamilton-Jacobi-Bellman equation, Optimal dividend strategy, Solvency constraints

4.

Dividend Optimization for Regime Switching General Diffusions

Number of pages: 22 Posted: 03 Apr 2013
Jinxia Zhu and Feng Chen
Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales and University of New South Wales (UNSW)
Downloads 34 (371,690)

Abstract:

Diffusion, dividend, dynamic programming principle, Hamilton-Jacobi-Bellman (HJB) equation, optimization, optimal dividend strategy, regime switching, stochastic control, value function

5.

Optimal Dividend Control for a Generalized Risk Model with Investment Incomes and Debit Interest

Scandinavian Actuarial Journal, DOI:10.1080/03461238.2011.585771, Forthcoming
Number of pages: 19 Posted: 26 Nov 2012
Jinxia Zhu
Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales
Downloads 24 (425,885)
Citation 2

Abstract:

Absolute ruin, dividend optimization, stochastic control, value function, viscosity solution

6.

Singular Optimal Dividend Control for the Regime-Switching Cramér-Lundberg Model with Credit and Debit Interest

Number of pages: 34 Posted: 03 Apr 2013
Jinxia Zhu
Risk and Actuarial Studies, Australian School of Business, The Univeristy of New South Wales
Downloads 23 (411,529)

Abstract:

band strategy, compound Poisson process, Cramér-Lundberg model, dividend optimization, regime switching, singular control