2011年发表的学术论文\工作论文

• Zhou, R., J.S.H. Li and K.S. Tan. (2011) \Economic Pricing of Mortality-LinkedSecurities in the Presence of Population Basis Risk", The Geneva Papers.36:544-546.
• Tan, K.S. and C. Weng. (2011) \Enhancing Insurer value using Reinsurance and Valueat Risk Criterion," The Geneva Risk and Insurance Review. 1-32.
• Tan, K.S., C. Weng, and Y. Zhang (2011). \Optimality of General Reinsurance Con-tracts under CTE Risk Measure," Insurance: Mathematics and Economics 49(2): 175{187.
• Yichun Chi, Sheldon X. Lin, “Are flexible premium variable annuities under-priced?” working paper, 2011”
• Yichun Chi, Ken Seng Tan, “Optimal reinsurance with general premium principles”,working paper, 2011
• Yichun Chi, “Optimal reinsurance under variance related premium principles”, working paper, 2011.
• Yichun Chi, Sheldon X. Lin, “On the threshold dividend strategy for a generalized jump–diffusion risk model”, Insurance: Mathematics and Economics, Vol 48, No 3, 326-337, 2011(SSCI, SCI)
• Yichun Chi, Ken Seng Tan, “Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach”, Astin Bulletin, Vol. 41, No 2, 487-509, 2011(SSCI, SCI)
• Hui Meng, Tak Kuen Siu “Optimal mixed impulse-equity    insurance control problem with reinsurance”，SIAM Journal on Control Optimization, Vol 49, No 1, 254 -279, 2011(SSCI, SCI, EI)
• Hui Meng, Tak Kuen Siu “On optimal reinsurance, dividend and reinvestment strategies”, Economic Modelling, Vol 28, No 1-2, 211-218, 2011(SSCI)
• Hui Meng, Tak Kuen Siu “Impulse Control of Proportional Reinsurance with Constraints”,International Journal of Stochastic Analysis, Vol 2011, Article ID 190603, 13 pages
• Hui Meng, Guojing Wang “On the expected discounted penalty function in a delayed-claim risk model”, Acta Mathematicae Applicatate Sinica (English Series) 2011 Accepted (SCI)
• Hui Meng,  Fei Lung Yuen, Tak Kuen Siu, Hailiang Yang  “Optimal Portfolio in a continuous-time self-exciting threshold model”, Journal of Industrial and Management Optimization, Revised (SSCI, SCI)
• Zhang Ning, Constructing D-Index from Panel Data Set and its Extreme Risk，CAMAN 2011, PP1-4, 2011, (EI)
• Zhang Ning, Yuan Yanran, Constructing D-Index of Drought Risk, 2011 Fourth International Joint Conference on Computational Sciences and Optimization, 风险管理分会；PP1211-1214, 2011, (EI)
• Ming Zhou and K F C Yiu, “Optimal dividend strategy in dual model with both fixed and proportional transaction costs”, submitted to Quantitative Finance,2011. Accepted. (SSCI)
• Ming Zhou and Kam C Yuen, “Optimal reinsurance and dividend for a diffusion model with capital injection: variance premium principle.” Economic Modelling, DOI:10.1016/j.econmod.2011.09.007. (SSCI)
• Ming Zhou, Hongbin Dong, Jingfeng Xu, “Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium.”, Journal of Systems Science and Complexity, 24(1), pp. 156-166, 2011. (SCI, EI)
• Huiling Wu and Zhongfei Li. Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow. Submitted to Insurance: Mathematics and Economics. Under revision.
• Huiling Wu and Zhongfei Li. Multi-period mean-variance portfolio selection under the framework of time consistency. Submitted to Mathematical Finance. Awaiting AE recommendation.
• Huiling Wu and Zhongfei Li. Continuous-time mean-variance portfolio selection problem with Ho-Lee and Vasicek stochastic interest rates. Submitted to European Journal of Operational Research. Under Review.
• Huiling Wu and Yan Zeng. Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state. Submitted to Optimal Control, Applications and Methods. Under Review.
• Huiling Wu. Mean-variance portfolio selection with a stochastic cash flow in a Markov switching jump-diffusion market. Submitted to Journal of Optimization Theory and Applications. Under Review.
• Huiling Wu and Zhongfei Li. Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon. Journal of Systems Science and Complexity 24: 140-155, 2011.
• Chiarella, C., X. Z. He and M. Zheng“An analysis of the effect of noise in a heterogeneous agent financial market model” Journal of Economic Dynamics and Control, vol. 35, no. 1, 148-162, 2011 (SCI, SSCI)
• Chiarella, C., X. Z. He and M. Zheng“Heterogeneous expectations and exchange rate dynamics” European Journal of Finance, iFirst, 1-28, 2011 (SSCI)
• Yefu Kou, Li Jia，Yunbo Wang.  The study on the incidence of disease based on Fuzzy Markov Chain[J],(已被The presentation of the 2011 2nd World Congress on Computer Science and Information Engineering录用, 2011年12月正式发表,2012年2月份左右见到)（EI）
• Hongbin Dongand Yuqin Zhang,No-Arbitrage and State Prices in Frictional Markets, 2011 International Conference on Computer and Management，445-448.(EI)
• Hongbin Dong,Robust No Asymptotic Free-lunch, 2011 Fourth International Joint Conference on Computational Sciences and Optimization，223-227, 2011.(EI)
• Hongbin Dong, Characterizations of No-Arbitrage in Frictional Markets by Optimality, the 23rd Chinese Control and Decison Conference，3365-3370，2011。(EI收录)
• Zhou ming,Dong Hongbin and Xu jingfeng, Optimal combinational of quata-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsruance premium, Journal of Systems Science and Complexity, 24(1), 156-166.2011。(EI和sci收录)
• Hongbin Dong, Necessary  Conditions for Benson fficient Solutions of Vector Set-valued Optimization, 2011 international conference on computational  intelligence and soft engineering.
• Zaigui Yang, “Altruistic motives, uncertain lifetime and urban public pension replacement rates”, Optimization, DOI:10.1080/02331934.2011.603320. Available at: http://www.tandfonline.com/doi/abs/10.1080/02331934.2011.603320 .
• Qi Ling and Makoto Tawada, “A dynamic analysis of public intermediate goods supply in large country case,”  mimeographed, 2011
• Guoce xin Xu jingfeng  A short approch to Catalan numbers modulo （SCI）The Electronic Journal of Combinatorics18(2011)/17
• Xujingfeng Zhao HJ Financial Forecasting:Compatative Performance of Volatility Models in Chinese Stock Markets  ，COS2011会议论文集1220-1225（EI）
• Xujingfeng Liu J A note on Set Familes and Codes,Ars Combinatoria (SCI)（已接收）
• Xujingfeng Zhao HJ Pricing Lookback Options with Dividends，COS2011会议论文集1226-1231（EI）
• Xujingfeng Zhao HJ Pricing Double Barrier Parisian Options with a Lattice Method，2011EBMM会议论文集563-567
• Xujingfeng Zhao HJ Valuation of Ratchet Equity Indexed Annuities with Binomial Models，2011EBMM会议论文集574-578
• 杨再贵， “不定寿命条件下城镇公共养老金最优替代率的理论与实证研究”，《管理评论》2011年第2期：28-32。
• 杨再贵， “不定寿命条件下城镇公共养老金最优替代率的理论与实证研究”，人民大学书报资料中心《统计与精算》2011年第3期全文转载。
• 杨再贵，“新农保、农民收入与内生增长”，《十二五·新挑战：经济社会综合风险管理》，北京大学中国保险与社会保障研究中心，2011.6：356-369。
• 杨再贵，“我国保险业巨灾赔付率低的原因与对策”，《中国保险报》2011.2.24
• 寇业富，孙晓静，基于模糊回归分析的我国人口统计[J],统计与决策，2011（4），25-28
• 高洪忠，保险公司次级债风险及监管研究，《保险研究》，1（2011）（总第273期）:61-69。
• 高洪忠，保险公司次级债风险对冲研究，《2010中国保险市场论丛》，2011.6：188-199。
• 高洪忠，“交强险经营结果影响因素分析”，《2010中国保险市场论丛》，2011.6：188-199。
• 高洪忠，基于广义线性模型的我国投资型寿险产品退保率实证研究，《保险研究》，1（2012）（总第285期）。
• 高洪忠，我国万能险退保率模型内部变量选择研究，《数理统计与管理》，2011.12接收。
• 高洪忠、周银银，退保率指标的合理性分析及调整，Working Paper.
• 高洪忠，考虑时间因素的退保率指标，Working Paper.
• 高洪忠、李坤，单均保费对退保率的影响分析，Working Paper.
• 周县华：《农业保险、巨灾准备金与税前扣除》，《财政研究》，2011年第6期，32~34.
• 周县华：《外资持股、股利分配与股利政策的动态调整》，初稿
• 周县华：《无欲速，无见小利：中美农业保险产品的比较案例研究》，初稿
• 周县华：《外资股东主导下的股利分配行为：降低代理成本还是寻找提款机？》，初稿

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