{"id":"https://openalex.org/W2909403766","doi":"https://doi.org/10.1051/ro/2019010","title":"Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles","display_name":"Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles","publication_year":2019,"publication_date":"2019-01-01","ids":{"openalex":"https://openalex.org/W2909403766","doi":"https://doi.org/10.1051/ro/2019010","mag":"2909403766"},"language":"en","primary_location":{"id":"doi:10.1051/ro/2019010","is_oa":false,"landing_page_url":"https://doi.org/10.1051/ro/2019010","pdf_url":null,"source":{"id":"https://openalex.org/S20631277","display_name":"RAIRO - Operations Research","issn_l":"0399-0559","issn":["0399-0559","1290-3868","2804-7303"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319748","host_organization_name":"EDP Sciences","host_organization_lineage":["https://openalex.org/P4310319748"],"host_organization_lineage_names":["EDP Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"RAIRO - Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5079994436","display_name":"Junna Bi","orcid":"https://orcid.org/0000-0002-3282-0957"},"institutions":[{"id":"https://openalex.org/I66867065","display_name":"East China Normal University","ror":"https://ror.org/02n96ep67","country_code":"CN","type":"education","lineage":["https://openalex.org/I66867065"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Junna Bi","raw_affiliation_strings":["Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, 200241 Shanghai, PR China"],"raw_orcid":"https://orcid.org/0000-0002-3282-0957","affiliations":[{"raw_affiliation_string":"Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, 200241 Shanghai, PR China","institution_ids":["https://openalex.org/I66867065"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5013177828","display_name":"Kailing Chen","orcid":"https://orcid.org/0000-0001-6219-7564"},"institutions":[{"id":"https://openalex.org/I66867065","display_name":"East China Normal University","ror":"https://ror.org/02n96ep67","country_code":"CN","type":"education","lineage":["https://openalex.org/I66867065"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Kailing Chen","raw_affiliation_strings":["Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, 200241 Shanghai, PR China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, 200241 Shanghai, PR China","institution_ids":["https://openalex.org/I66867065"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5079994436"],"corresponding_institution_ids":["https://openalex.org/I66867065"],"apc_list":null,"apc_paid":null,"fwci":6.8653,"has_fulltext":false,"cited_by_count":12,"citation_normalized_percentile":{"value":0.96466567,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"53","issue":"1","first_page":"179","last_page":"206"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9988999962806702,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.9987000226974487,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9980999827384949,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/reinsurance","display_name":"Reinsurance","score":0.9481533765792847},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5587810277938843},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.529421865940094},{"id":"https://openalex.org/keywords/shock","display_name":"Shock (circulatory)","score":0.5288259387016296},{"id":"https://openalex.org/keywords/compound-poisson-process","display_name":"Compound Poisson process","score":0.5025382041931152},{"id":"https://openalex.org/keywords/poisson-distribution","display_name":"Poisson distribution","score":0.49463745951652527},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.4892251491546631},{"id":"https://openalex.org/keywords/risk-premium","display_name":"Risk premium","score":0.4769669771194458},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.4720022678375244},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.4719007909297943},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4491625726222992},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.43351322412490845},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.41950860619544983},{"id":"https://openalex.org/keywords/exponential-utility","display_name":"Exponential utility","score":0.4181548058986664},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.39996591210365295},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2656519412994385},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.24595579504966736},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.2456110417842865},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.2118997871875763},{"id":"https://openalex.org/keywords/poisson-process","display_name":"Poisson process","score":0.15884265303611755},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.12139353156089783}],"concepts":[{"id":"https://openalex.org/C166970017","wikidata":"https://www.wikidata.org/wiki/Q476118","display_name":"Reinsurance","level":2,"score":0.9481533765792847},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5587810277938843},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.529421865940094},{"id":"https://openalex.org/C2781300812","wikidata":"https://www.wikidata.org/wiki/Q178061","display_name":"Shock (circulatory)","level":2,"score":0.5288259387016296},{"id":"https://openalex.org/C133338972","wikidata":"https://www.wikidata.org/wiki/Q2055750","display_name":"Compound Poisson process","level":4,"score":0.5025382041931152},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.49463745951652527},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.4892251491546631},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.4769669771194458},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.4720022678375244},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4719007909297943},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4491625726222992},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.43351322412490845},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.41950860619544983},{"id":"https://openalex.org/C2778475510","wikidata":"https://www.wikidata.org/wiki/Q5421533","display_name":"Exponential utility","level":2,"score":0.4181548058986664},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.39996591210365295},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2656519412994385},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.24595579504966736},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2456110417842865},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.2118997871875763},{"id":"https://openalex.org/C166144826","wikidata":"https://www.wikidata.org/wiki/Q1145117","display_name":"Poisson process","level":3,"score":0.15884265303611755},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.12139353156089783},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C126322002","wikidata":"https://www.wikidata.org/wiki/Q11180","display_name":"Internal medicine","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1051/ro/2019010","is_oa":false,"landing_page_url":"https://doi.org/10.1051/ro/2019010","pdf_url":null,"source":{"id":"https://openalex.org/S20631277","display_name":"RAIRO - Operations Research","issn_l":"0399-0559","issn":["0399-0559","1290-3868","2804-7303"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319748","host_organization_name":"EDP Sciences","host_organization_lineage":["https://openalex.org/P4310319748"],"host_organization_lineage_names":["EDP Sciences"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"RAIRO - Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:numdam.org:RO_2019__53_1_179_0","is_oa":false,"landing_page_url":"https://www.numdam.org/articles/10.1051/ro/2019010/","pdf_url":null,"source":{"id":"https://openalex.org/S4306402264","display_name":"French digital mathematics library (Numdam)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I70900168","host_organization_name":"Universit\u00e9 Savoie Mont Blanc","host_organization_lineage":["https://openalex.org/I70900168"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Text"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Decent work and economic growth","score":0.4699999988079071,"id":"https://metadata.un.org/sdg/8"}],"awards":[{"id":"https://openalex.org/G3385499899","display_name":null,"funder_award_id":"11571189, 11871219, 11871220","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G7524868893","display_name":null,"funder_award_id":"B14019","funder_id":"https://openalex.org/F4320327912","funder_display_name":"Higher Education Discipline Innovation Project"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320327912","display_name":"Higher Education Discipline Innovation Project","ror":null}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1558902221","https://openalex.org/W1968457222","https://openalex.org/W2023490476","https://openalex.org/W2030862733","https://openalex.org/W2034085084","https://openalex.org/W2037007317","https://openalex.org/W2052786302","https://openalex.org/W2063591500","https://openalex.org/W2067009897","https://openalex.org/W2067533180","https://openalex.org/W2078772609","https://openalex.org/W2087292112","https://openalex.org/W2090752464","https://openalex.org/W2117369710","https://openalex.org/W2118573305","https://openalex.org/W2127281981","https://openalex.org/W2141728787","https://openalex.org/W2147258401","https://openalex.org/W2165923723","https://openalex.org/W2169684614","https://openalex.org/W2171169470","https://openalex.org/W2171757380","https://openalex.org/W2196240778","https://openalex.org/W2528921237","https://openalex.org/W2587186269","https://openalex.org/W2604888066","https://openalex.org/W2782729276","https://openalex.org/W2808639017","https://openalex.org/W4236303303"],"related_works":["https://openalex.org/W3003714559","https://openalex.org/W2964383734","https://openalex.org/W2982609431","https://openalex.org/W4376643861","https://openalex.org/W2560553738","https://openalex.org/W2063236625","https://openalex.org/W1970232156","https://openalex.org/W2367412533","https://openalex.org/W3124241899","https://openalex.org/W2022723131"],"abstract_inverted_index":{"This":[0],"paper":[1],"considers":[2],"the":[3,25,38,42,47,53,59,66,70,74,83,94,99,105,109,113,124,135,139,153,159],"optimal":[4,61,67,95,160],"investment-reinsurance":[5],"strategy":[6,68,97,107,111],"in":[7,141,158],"a":[8,33],"risk":[9,77,87,116,144],"model":[10,78,117,126,156],"with":[11,46],"two":[12,19,26,129,143],"dependent":[13],"classes":[14],"of":[15,21,40,131,155],"insurance":[16],"business":[17],"under":[18,127],"kinds":[20,130],"premium":[22,50,55,132],"principles,":[23,133],"where":[24],"claim":[27],"number":[28],"processes":[29],"are":[30,118,138,149],"correlated":[31],"through":[32],"common":[34],"shock":[35],"component.":[36],"Under":[37],"criterion":[39],"maximizing":[41],"expected":[43,48],"exponential":[44],"utility":[45],"value":[49,71],"principle":[51],"and":[52,69,108],"variance":[54],"principle,":[56],"we":[57,91],"use":[58],"stochastic":[60],"control":[62],"theory":[63],"to":[64,104,151],"derive":[65],"function":[72],"for":[73,82,112,123],"compound":[75,114],"Poisson":[76,115],"as":[79,81],"well":[80],"Brownian":[84],"motion":[85],"diffusion":[86,125],"model.":[88],"In":[89],"particular,":[90],"find":[92],"that":[93],"investment":[96,136],"on":[98],"risky":[100],"asset":[101],"is":[102],"independent":[103],"reinsurance":[106,110],"very":[119],"different":[120],"from":[121],"those":[122],"both":[128],"but":[134],"strategies":[137],"same":[140],"this":[142],"models.":[145],"Finally,":[146],"numerical":[147],"examples":[148],"presented":[150],"show":[152],"impact":[154],"parameters":[157],"strategies.":[161]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":5},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":2}],"updated_date":"2026-07-07T06:14:10.401900","created_date":"2025-10-10T00:00:00"}
