{"id":"https://openalex.org/W2748593462","doi":"https://doi.org/10.1016/j.cam.2017.08.001","title":"Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model","display_name":"Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model","publication_year":2017,"publication_date":"2017-08-14","ids":{"openalex":"https://openalex.org/W2748593462","doi":"https://doi.org/10.1016/j.cam.2017.08.001","mag":"2748593462"},"language":"en","primary_location":{"id":"doi:10.1016/j.cam.2017.08.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.cam.2017.08.001","pdf_url":null,"source":{"id":"https://openalex.org/S165473669","display_name":"Journal of Computational and Applied Mathematics","issn_l":"0377-0427","issn":["0377-0427","1879-1778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Computational and Applied Mathematics","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/A5100455426","display_name":"Yajie Wang","orcid":"https://orcid.org/0000-0003-0648-5195"},"institutions":[{"id":"https://openalex.org/I162868743","display_name":"Tianjin University","ror":"https://ror.org/012tb2g32","country_code":"CN","type":"education","lineage":["https://openalex.org/I162868743"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yajie Wang","raw_affiliation_strings":["School of Science, Tianjin University, Tianjin 300350, PR China"],"affiliations":[{"raw_affiliation_string":"School of Science, Tianjin University, Tianjin 300350, PR China","institution_ids":["https://openalex.org/I162868743"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5107931789","display_name":"Ximin Rong","orcid":null},"institutions":[{"id":"https://openalex.org/I162868743","display_name":"Tianjin University","ror":"https://ror.org/012tb2g32","country_code":"CN","type":"education","lineage":["https://openalex.org/I162868743"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Ximin Rong","raw_affiliation_strings":["School of Science, Tianjin University, Tianjin 300350, PR China"],"affiliations":[{"raw_affiliation_string":"School of Science, Tianjin University, Tianjin 300350, PR China","institution_ids":["https://openalex.org/I162868743"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5053876653","display_name":"Hui Zhao","orcid":"https://orcid.org/0000-0003-0071-2123"},"institutions":[{"id":"https://openalex.org/I162868743","display_name":"Tianjin University","ror":"https://ror.org/012tb2g32","country_code":"CN","type":"education","lineage":["https://openalex.org/I162868743"]}],"countries":["CN"],"is_corresponding":true,"raw_author_name":"Hui Zhao","raw_affiliation_strings":["School of Science, Tianjin University, Tianjin 300350, PR China"],"affiliations":[{"raw_affiliation_string":"School of Science, Tianjin University, Tianjin 300350, PR China","institution_ids":["https://openalex.org/I162868743"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5053876653"],"corresponding_institution_ids":["https://openalex.org/I162868743"],"apc_list":{"value":3040,"currency":"USD","value_usd":3040},"apc_paid":null,"fwci":6.3529,"has_fulltext":false,"cited_by_count":40,"citation_normalized_percentile":{"value":0.9649861,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":95,"max":99},"biblio":{"volume":"328","issue":null,"first_page":"414","last_page":"431"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"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"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9990000128746033,"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":0.9987999796867371,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/reinsurance","display_name":"Reinsurance","score":0.9539452791213989},{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.8765442371368408},{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.7075053453445435},{"id":"https://openalex.org/keywords/exponential-utility","display_name":"Exponential utility","score":0.6356945037841797},{"id":"https://openalex.org/keywords/constant-elasticity-of-variance-model","display_name":"Constant elasticity of variance model","score":0.6149512529373169},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.5981989502906799},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.516072690486908},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.4861986041069031},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.4306044280529022},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.4305609464645386},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.42999541759490967},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.40225476026535034},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3971070349216461},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.38394895195961},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.36269935965538025},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.33377525210380554},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.32818472385406494},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.307094544172287},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.20754122734069824},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.14688098430633545},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.13444262742996216}],"concepts":[{"id":"https://openalex.org/C166970017","wikidata":"https://www.wikidata.org/wiki/Q476118","display_name":"Reinsurance","level":2,"score":0.9539452791213989},{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.8765442371368408},{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.7075053453445435},{"id":"https://openalex.org/C2778475510","wikidata":"https://www.wikidata.org/wiki/Q5421533","display_name":"Exponential utility","level":2,"score":0.6356945037841797},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.6149512529373169},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.5981989502906799},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.516072690486908},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4861986041069031},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.4306044280529022},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4305609464645386},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.42999541759490967},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.40225476026535034},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3971070349216461},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.38394895195961},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.36269935965538025},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.33377525210380554},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.32818472385406494},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.307094544172287},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.20754122734069824},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.14688098430633545},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.13444262742996216},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.0},{"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/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","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/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","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}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1016/j.cam.2017.08.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.cam.2017.08.001","pdf_url":null,"source":{"id":"https://openalex.org/S165473669","display_name":"Journal of Computational and Applied Mathematics","issn_l":"0377-0427","issn":["0377-0427","1879-1778"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Computational and Applied Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5799999833106995,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[{"id":"https://openalex.org/G275239836","display_name":null,"funder_award_id":"11771329","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"},{"id":"https://openalex.org/G5995328572","display_name":null,"funder_award_id":"11301376","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1758966433","https://openalex.org/W1966119267","https://openalex.org/W1969948172","https://openalex.org/W1978721202","https://openalex.org/W1979653978","https://openalex.org/W1980563255","https://openalex.org/W1996676951","https://openalex.org/W2005412608","https://openalex.org/W2011390982","https://openalex.org/W2018013364","https://openalex.org/W2027895939","https://openalex.org/W2034085084","https://openalex.org/W2037007317","https://openalex.org/W2044965965","https://openalex.org/W2056257481","https://openalex.org/W2065290976","https://openalex.org/W2071292843","https://openalex.org/W2086658597","https://openalex.org/W2090752464","https://openalex.org/W2093366524","https://openalex.org/W2118573305","https://openalex.org/W2126629795","https://openalex.org/W2138349601","https://openalex.org/W2171169470","https://openalex.org/W2171757380","https://openalex.org/W2209557103","https://openalex.org/W2398149047","https://openalex.org/W3124086616","https://openalex.org/W6658937937"],"related_works":["https://openalex.org/W3003714559","https://openalex.org/W3121654678","https://openalex.org/W2023017827","https://openalex.org/W2414464284","https://openalex.org/W2082833811","https://openalex.org/W2376890406","https://openalex.org/W1998461551","https://openalex.org/W4312940986","https://openalex.org/W4306679469","https://openalex.org/W2801500663"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":9},{"year":2019,"cited_by_count":6},{"year":2018,"cited_by_count":3}],"updated_date":"2026-03-10T14:07:55.174380","created_date":"2025-10-10T00:00:00"}