发表学术论文
2019年--至今
1. Danping Li, Virginia R. Young* (2022). Stackelberg differential game for reinsurance: Mean-variance framework and random horizon. Insurance: Mathematics and Economics, 102, 42-55.
2. Junna Bi, Danping Li*, Nan Zhang (2022). Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles. RAIRO Operations Research, 56, 1-22.
3. Danping Li*, Xiaotao Liu, Hailong Liu (2022). Optimal investment strategy for a family with a random household expenditure under the CEV model. Communications in Statistics-Theory and Methods, 51(17), 5993-6007.
4. Danping Li, Ximin Rong, Hui Zhao, Yajie Wang* (2022). Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer. Communications in Statistics-Theory and Methods, 51(21), 7496-7527.
5. Lv Chen, David Landriault, Bin Li, Danping Li* (2021). Optimal dynamic risk sharing under the time-consistent mean-variance criterion. Mathematical Finance, 31(2), 649-682.
6. Danping Li, Virginia R. Young* (2021). Bowley solution of a mean-variance game in insurance. Insurance: Mathematics and Economics, 98, 35-43.
7. Danping Li*, Bin Li, Yang Shen (2021). A stochastic differential game for insurance market with competitive premium. Journal of Computational and Applied Mathematics, 389, 113349.
8. Danping Li, Junna Bi*, Mengcong Hu (2021). Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk. RAIRO Operations Research, 55, S2983-S2997.
9. Yajie Wang, Ximin Rong, Hui Zhao, Danping Li* (2021). Optimal investment problem between two insurers with value-added service. Communications in Statistics-Theory and Methods, 50(8), 1781-1806.
10. Danping Li, Yongzeng Lai, Lin Li* (2020). Optimal asset allocation with heterogeneous discounting and stochasticincome under CEV model. Journal of the Operational Research Society, 71(12), 2013-2026.
11. Ling Zhang, Danping Li*, Yongzeng Lai (2020). Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochasticvolatility, Journal of Computational and Applied Mathematics, 368, 112536.
12. Danping Li, Virginia R. Young* (2019). Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. Insurance: Mathematics and Economics, 87, 143-152.
2014-2018年
1. Danping Li, Yan Zeng*, Yang Shen (2018). Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility. Insurance: Mathematics and Economics, 78, 72-86.
2. Danping Li, Yan Zeng*, Hailiang Yang (2018). Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Scandinavian Actuarial Journal, 2018(2), 145-171.
3. Yan Zeng, Danping Li* Zheng Chen, Zhou Yang (2018). Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. Journal of Economic Dynamics and Control, 88, 70-103.
4. David Landriault, Bin Li, Danping Li, Virginia R. Young* (2018). Equilibrium strategies for the mean-variance investment problem over a random horizon. SIAM Journal of Financial Mathematics, 9(3), 1046-1073.
5. Danping Li, Dongchen Li, Virginia R. Young* (2017). Optimality of excess-loss reinsurance under a mean-variance criterion. Insurance: Mathematics and Economics, 75, 82-89.
6. Danping Li, Ximin Rong, Hui Zhao, Bo Yi* (2017). Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model. Insurance: Mathematics and Economics, 72, 6-20.
7. Danping Li, Ximin Rong, Hui Zhao* (2017). Equilibrium excess-of-loss reinsurance -investment strategy for a mean-variance insurer under stochastic volatility model. Communications in Statistics-Theory and Methods, 46(19), 9459-9475.
8. Bin Li, Danping Li*, Dewen Xiong (2016). Alpha-robust mean -variance reinsurance-investment strategy. Journal of Economic Dynamics and Control, 70, 101-123.
9. David Landriault, Bin Li, Danping Li*, Dongchen Li (2016). A pair of optimal reinsurance-investment strategies in the two-sided exit framework. Insurance: Mathematics and Economics, 71, 284-294.
10.Yan Zeng, Danping Li*, Ailing Gu (2016). Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Insurance: Mathematics and Economics, 66, 138-152.
11.Danping Li, Ximin Rong, Hui Zhao* (2016). The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model.IMA Journal of Management Mathematics, 27(2), 255-280.
12.Danping Li, Ximin Rong, Hui Zhao* (2016). Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model. Computational and Applied Mathematics, 35(2), 533-557.
13.Danping Li, Ximin Rong, Hui Zhao* (2016). Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model. Journal of Systems Science and Complexity, 29(2), 428-454.
14.Danping Li, Ximin Rong, Hui Zhao* (2015). Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk. Insurance: Mathematics and Economics, 64, 28-44.
15.Danping Li, Ximin Rong, Hui Zhao* (2015). Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model. Journal of Computational and Applied Mathematics, 283, 142-162.
16.Danping Li, Ximin Rong, Hui Zhao* (2015). Stochastic differential game formulation on the reinsurance and investment problem. International Journal of Control, 88, 1861-1877.
17.Danping Li*, Ximin Rong, Hui Zhao (2015). Optimal investment problem for an insurer and a reinsurer. Journal of Systems Science and Complexity, 28(6), 1326-1343.
18.Danping Li, Ximin Rong, Hui Zhao* (2014). Optimal reinsurance-investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model. Journal of Computational and Applied Mathematics, 255, 671-683.
