By Associate Professor Jinxia Zhu

Journal articles

Feng Y; Siu TK; Zhu J, 2024, 'Optimal payout strategies when Bruno de Finetti meets model uncertainty', Insurance: Mathematics and Economics, 116, pp. 148 - 164, http://dx.doi.org/10.1016/j.insmatheco.2024.02.002

Yao D; Zhu J, 2024, 'Optimal reinsurance under a new design: two layers and multiple reinsurers', Quantitative Finance, 24, pp. 655 - 676, http://dx.doi.org/10.1080/14697688.2024.2349019

Feng Y; Siu TK; Zhu J, 2024, 'How Might Model Uncertainty and Transaction Costs Impact Retained Earning & Dividend Strategies? An Examination Through a Classical Insurance Risk Model', Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2024.11.002

Feng Y; Zhu J; Siu TK, 2021, 'Optimal risk exposure and dividend payout policies under model uncertainty', Insurance: Mathematics and Economics, 100, pp. 1 - 29, http://dx.doi.org/10.1016/j.insmatheco.2021.03.029

Zhu J, 2021, 'Optimal impulse control for growth-restricted linear diffusions with regime switching', SIAM Journal on Control and Optimization, 59, pp. 185 - 222, http://dx.doi.org/10.1137/19M1278156

Li X; Liu H; Tang Q; Zhu J, 2020, 'Liquidation risk in insurance under contemporary regulatory frameworks', Insurance: Mathematics and Economics, 93, pp. 36 - 49, http://dx.doi.org/10.1016/j.insmatheco.2020.04.005

Siu TK; Zhu J; Yang H, 2019, 'A martingale approach for asset allocation with derivative security and hidden economic risk', Journal of Applied Probability, 56, pp. 723 - 749, http://dx.doi.org/10.1017/jpr.2019.40

Zhu J; Siu TK; Yang H, 2019, 'Singular dividend optimization for a linear diffusion model with time-inconsistent preferences', European Journal of Operational Research, 285, pp. 66 - 80, http://dx.doi.org/10.1016/j.ejor.2019.04.027

Zhu J, 2017, 'OPTIMAL FINANCING and DIVIDEND DISTRIBUTION with TRANSACTION COSTS in the CASE of RESTRICTED DIVIDEND RATES', ASTIN Bulletin, 47, pp. 239 - 268, http://dx.doi.org/10.1017/asb.2016.29

Zhu J; Yang H, 2016, 'Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy', Insurance: Mathematics and Economics, 70, pp. 259 - 271, http://dx.doi.org/10.1016/j.insmatheco.2016.05.011

Zhu J; Yang H, 2016, 'Optimal financing and dividend distribution in a general diffusion model with regime switching', Advances in Applied Probability, 48, pp. 406 - 422, http://dx.doi.org/10.1017/apr.2016.7

Zhu J, 2015, 'Dividend optimization for general diffusions with restricted dividend payment rates', Scandinavian Actuarial Journal, 2015, pp. 592 - 615, http://dx.doi.org/10.1080/03461238.2013.872174

Zhu J; Chen F, 2015, 'Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest', Economic Modelling, 46, pp. 142 - 156, http://dx.doi.org/10.1016/j.econmod.2014.11.019

Zhu J, 2014, 'Corrigendum to Errata for 'Optimal dividend control for a generalized risk model with investment incomes and debit interest' online version (Scandinavian Actuarial Journal, IFirst, (2012))', Scandinavian Actuarial Journal, 2014, pp. 282 - 282, http://dx.doi.org/10.1080/03461238.2012.760254

Zhu J, 2014, 'Dividend optimization for a regime-switching diffusion model with restricted dividend rates', ASTIN Bulletin, 44, pp. 459 - 494, http://dx.doi.org/10.1017/asb.2014.2

Zhu J, 2014, 'Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest', Journal of Computational and Applied Mathematics, 257, pp. 212 - 239, http://dx.doi.org/10.1016/j.cam.2013.08.033

Zhu J; Chen F, 2013, 'Dividend optimization for regime-switching general diffusions', Insurance Mathematics and Economics, 53, pp. 439 - 456, http://dx.doi.org/10.1016/j.insmatheco.2013.07.006

Zhu J; Yang H; Ng K, 2011, 'Ruin probabilities for the perturbed compound Poisson risk process with investment', Communications in Statistics: Theory and Methods, 40, pp. 3917 - 3934, http://dx.doi.org/10.1080/03610926.2010.501942

Zhu J; Yang H, 2009, 'On differentiability of ruin functions under Markov-modulated models', Stochastic Processes and their Applications, 119, pp. 1673 - 1695

Zhu J; Yang H, 2008, 'Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest', Journal of Applied Probability, 45, pp. 818 - 830

Zhu J; Yang H, 2008, 'Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest', Journal of Applied Probability, 45, pp. 818 - 830, http://dx.doi.org/10.1017/s0021900200004721

Zhu J; Yang H, 2008, 'Ruin probabilities of a dual Markov-modulated risk model', Communications in Statistics - Theory and Methods, 37, pp. 3298 - 3307, http://dx.doi.org/10.1080/03610920802117080

Zhu J; Yang H, 2008, 'Ruin theory for a Markov regime-switching model under a threshold dividend strategy', Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2007.03.004

Feng C; Zhu J; Li Z, 2008, 'Upper bounds for the ruin probabilities of the entrance-based risk model', Communications in Statistics - Theory and Methods, 37, pp. 2634 - 2652, http://dx.doi.org/10.1080/03610920801942447

Zhu J, 2007, 'Discussion on: `Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debt interest` by J. Cai, H. U. Gerber and H. Yang', North American Actuarial Journal, 10, pp. 116 - 118, http://dx.doi.org/10.1080/10920277.2006.10596253

Li Z; Zhu J; Feng C, 2005, 'Study of a risk model based on the entrance process', Statistics and Probability Letters, 72, pp. 1 - 10, http://dx.doi.org/10.1016/j.spl.2004.10.028

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