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The Optimal Policy for Insurance Company Under Consideration of Internal Competition and the Time Value of Ruin

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Acta Mathematicae Applicatae Sinica 2014年第3期30卷 807-818页

作者： Wei LIU yi-jun hu School of Mathematics and System Sciences Xinjiang University School of Mathematics and Statistics Wuhan University

This paper considers the dividend optimization problem for an insurance company under the consideration of internal competition between different units inside the company. The objective is to find a reinsurance policy and a dividend payment scheme so as to maximize the expected discounted value of the dividend payment, and the expected present value of an amount which the insurer earns until the time of ruin. By solving the corresponding constrained Hamilton-Jacobi-Bellman （HJB） equation, we obtain the value function and the optimal reinsurance policy and dividend payment.

关键词： dividend payment proportional reinsurance internal competition Hamilton-Jacobi-Bellman (HJB)equation

Risk-based Optimal Investment and Proportional Reinsurance of an Insurer with Hidden Regime Switching

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Acta Mathematicae Applicatae Sinica 2016年第3期32卷 755-770页

作者： Xing-chun PENG yi-jun hu School of Science Wuhan University of Technology School of Mathematics and Statistics Wuhan University

In this paper, we study the optimal investment and proportional reinsurance strategy for an insurer in a hidden Markov regime-switching environment. A risk-based approach is considered, where the insurer aims at selecting an optimal strategy with a view to minimizing the risk described by a convex risk measure of its terminal wealth. We solve the problem in two steps. First, we employ the filtering theory to turn the optimization problem with partial observations into one with complete observations. Second, by using BSDEs with jumps, we solve the problem with complete observations.

关键词： investment reinsurance hidden Markov chain convex risk measure backward stochastic differential equation

Optimal Time-consistent Investment and Reinsurance Strategy for Mean-variance Insurers Under the Inside Information

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Acta Mathematicae Applicatae Sinica 2016年第4期32卷 1087-1100页

作者： Jing CAO Xing-chun PENG yi-jun hu School of Mathematics and Statistics Wuhan University School of Mathematics and Statistics South-Central University for Nationalities School of Science Wuhan University of Technology

In this paper, we consider the problem of the optimal time-consistent investment and proportional reinsurance strategy under the mean-variance criterion, in which the insurer has some inside information at her disposal concerning the future realizations of her claims process. It is assumed that the surplus of the insurer is governed by a Brownian motion with drift, and the insurer has the possibility to reduce the risk by purchasing proportional reinsurance and investing in financial markets. We first formulate the problem and provide a verification theorem on the extended Hamilton-Jacobi-Bellman equations. Then, the closed-form expression is obtained for the optimal strategy of the optimization problem.

关键词： reinsurance portfolio inside information time-consistency mean-variance criterion

Constant Barrier Strategies in a Two-state Markov-modulated Dual Risk Model

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Acta Mathematicae Applicatae Sinica 2011年第4期27卷 679-690页

作者： Xue-min MA Kui LUO Guang-ming WANG yi-jun hu School of Mathematics and Statistics Wuhan University Wuhan 430072 China

In this paper, we consider the dividend problem in a two-state Markov-modulated dual risk model, in which the gain arrivals, gain sizes and expenses are influenced by a Markov process. A system of integro-differential equations for the expected value of the discounted dividends until ruin is derived. In the case of exponential gain sizes, the equations are solved and the best barrier is obtained via numerical example. Finally, using numerical example, we compare the best barrier and the expected discounted dividends in the two-state Markov-modulated dual risk model with those in an associated averaged compound Poisson risk model. Numerical results suggest that one could use the results of the associated averaged compound Poisson risk model to approximate those for the two-state Markov-modulated dual risk model.

关键词： Dual risk model Markov-modulated risk model barrier strategy

Long-term observation of vitrectomy without subretinal hemorrhage management for massive vitreous hemorrhage secondary to polypoidal choroidal vasculopathy

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International Journal of Ophthalmology(English edition) 2019年第12期12卷 1859-1864页

作者： Zhi-Xi Li yi-jun hu Alp Atik Lin Lu Jie hu State Key Laboratory of Ophthalm ology Zhongshan Ophthalmic CenterSun Yat-sen UniversityGuangzhou 510060Guangdong ProvinceChina Aier School of Ophthalmology Central South UniversityChangsha 410000Hunan ProvinceChina Royal Victorian Eye and Ear Hospital Melbourne 3000Australia

AIM: To describe the long-term observation of vitrectomy without subretinal hemorrhage(SRH) management for massive vitreous hemorrhage(VH) secondary to polypoidal choroidal vasculopathy(PCV). METHODS: This is a retrospective, consecutive case series. A total of 86 eyes of 86 patients with >14d of massive VH associated with PCV were included. All patients underwent vitrectomy without SRH management, followed by intravitreal ranibizumab injections and/or photodynamic therapy(PDT) as needed. The main outcome measures were best-corrected visual acuity(BCVA), postoperative adverse events and the recurrence of VH. RESULTS: The average follow-up period was 25.5±9.2 mo(range 12-35 mo). Mean BCVA at baseline(2.16±0.39 logM AR)had improved significantly, both 3 mo after surgery(1.42±0.66 log MAR, P<0.001) and by the last visit(1.23±0.74 logM AR, P<0.001). The common postoperative complications included macular subretinal fibrosis in 14 eyes(16.3%) and ciliary body detachment in 4 eyes(4.7%).Nineteen eyes(22.1%) received following treatment with ranibizumab injections without/with PDT, and 15(17.4%)were resolved. Four eyes(4.7%) had recurrent hemorrhage during the follow-up period. In multiple regression analysis,thicker SRH(beta=0.33, P=0.025) in the preoperative B-scan and the presence of foveal subretinal fibrosis(beta=0.28, P=0.018) in the follow up were associated with poor postoperative BCVA. CONCLUSION: Vitrectomy without SRH management for massive VH secondary to PCV improved/stabilized visual function in the long-term observation. Eyes presenting with thicker SRH preoperatively and forming foveal subretinal fibrosis in the follow-up period tended to have worse BCVA.

关键词： polypoidal choroidal vasculopathy vitreous hemorrhage vitrectomy visual acuity

Convolution Kernels Implementation of Cardinalized Probability Hypothesis Density Filter

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Acta Mathematicae Applicatae Sinica 2013年第4期29卷 739-748页

作者： Yue MA Jian-zhang Zhu Qian-qing QIN yi-jun hu School of Mathematics and Information Sciences North China University of Water Resources and Electric Power School of Mathematics and Statistics Wuhan University State Key Laboratory of Information Engineering in Surveying Mapping and Remote SensingWuhan University

The probability hypothesis density （PHD） propagates the posterior intensity in place of the poste- rior probability density of the multi-target state. The cardinalized PHD （CPHD） recursion is a generalization of PHD recursion, which jointly propagates the posterior intensity function and posterior cardinality distribution. A number of sequential Monte Carlo （SMC） implementations of PHD and CPHD filters （also known as SMC- PHD and SMC-CPHD filters, respectively） for general non-linear non-Gaussian models have been proposed. However, these approaches encounter the limitations when the observation variable is analytically unknown or the observation noise is null or too small. In this paper, we propose a convolution kernel approach in the SMC-CPHD filter. The simuIation results show the performance of the proposed filter on several simulated case studies when compared to the SMC-CPHD filter.

关键词： random finite set (RFS) probability hypothesis density (PHD) filter cardinalized probability hypothesis density (CPHD) filter convolution kernel

Two New Triterpenes from Astilbe chinensis

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Chinese Chemical Letters 2006年第5期17卷 628-630页

作者： jun yi hu Zhi YAO Jie TENG Yoshihisa TAKAISHI Hong Quan DUAN The College of Pharmaceuticals and Biotechnology Tianjin University Tianjin 300072 School of Chemical Engineering A.nshanUniversity of Science ＆ Technology Liaoning 114002 Department of Immunology Tianjin Medical University Tianjin300070 Faculty of Pharmaceutical Sciences University of Tokushima Shomachi 1-78 Tokushirna 770-8505 Japan School of Pharmacy Tianjin Medical University Tianjin 300070

Two new triterpenoids, 3β, 6β, 24-trihydroxyolean-12-en-27-oic acid and 3β-acetoxy-6β-hydroxyurs-12-en-27-oic acid, as well as three known triterpenoids were isolated from ~e rhizomes of Astilbe chinensis. Their s... 详细信息

关键词： Astilbe chinensis triterpene cytotoxic activities.

A New Hemiterpene Derivative from Prinsepia utilis

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Chinese Chemical Letters 2006年第2期17卷 198-200页

作者： jun yi hu Wei QIAO Yoshihisa TAKAISHI Hong Quart DUAN The College of Pharmaceuticals and Biotechnology Tianjin University Tianjin 300072 School of Chemical Engineering Anshan university of Science ＆ Technology Anshan 114002 The School of Pharmacy Tianjin Medical University Tianjin 300070 Faculty of Pharmaceutical Sciences University of Tokushima Shomachi 1-78 Tokushima 770-8505 Japan

A new hemiterpenoid, （＋）-（2R,3S）-2-chloro-3-hydroxy-3-methyl-T-buty-rolactone was isolatexi from the leaves of Prinsepia utilis Royle. Its structure was clucidatexi by spectroscopic methods and X-ray crystallogra... 详细信息

关键词： Prinsepia utilis hemitcrpcne (+)-(2R 3S)-2-chloro-3-hydroxy-3-methyl-T-butyrolac-tone.

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带利率和常数红利边界的对偶风险模型的研究

数学学报（中文版） 2012年第1期55卷 131-140页

作者：袁海丽胡亦钧武汉大学数学与统计学院武汉430072

考虑带利率和常数红利边界的对偶风险模型.首先,给出破产为止总红利现值的期望满足的积分-微分方程,并且在指数收益下得到其封闭解.其次,推导出总红利现值的矩满足的积分-微分方程,在指数收益下给出其封闭解.最后,给出在特殊情形下的数... 详细信息

考虑带利率和常数红利边界的对偶风险模型.首先,给出破产为止总红利现值的期望满足的积分-微分方程,并且在指数收益下得到其封闭解.其次,推导出总红利现值的矩满足的积分-微分方程,在指数收益下给出其封闭解.最后,给出在特殊情形下的数值计算.

关键词：对偶风险模型利率红利派发