{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T05:34:59Z","timestamp":1770960899924,"version":"3.50.1"},"reference-count":30,"publisher":"Springer Science and Business Media LLC","issue":"1","license":[{"start":{"date-parts":[[2019,1,16]],"date-time":"2019-01-16T00:00:00Z","timestamp":1547596800000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["11301188"],"award-info":[{"award-number":["11301188"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["11571189"],"award-info":[{"award-number":["11571189"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["11471165"],"award-info":[{"award-number":["11471165"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100013286","name":"Specialized Research Fund for the Doctoral Program of Higher Education of China","doi-asserted-by":"crossref","award":["20130076120008"],"award-info":[{"award-number":["20130076120008"]}],"id":[{"id":"10.13039\/501100013286","id-type":"DOI","asserted-by":"crossref"}]},{"name":"Research Grants Council of the Hong Kong Special Administrative Region, China","award":["HKU17329216"],"award-info":[{"award-number":["HKU17329216"]}]}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["Math Meth Oper Res"],"published-print":{"date-parts":[[2019,8]]},"DOI":"10.1007\/s00186-018-00657-3","type":"journal-article","created":{"date-parts":[[2019,1,16]],"date-time":"2019-01-16T08:36:48Z","timestamp":1547627808000},"page":"109-135","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":13,"title":["Optimal mean\u2013variance investment\/reinsurance with common shock in a regime-switching market"],"prefix":"10.1007","volume":"90","author":[{"given":"Junna","family":"Bi","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3152-8081","authenticated-orcid":false,"given":"Zhibin","family":"Liang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Kam Chuen","family":"Yuen","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2019,1,16]]},"reference":[{"key":"657_CR1","doi-asserted-by":"publisher","first-page":"181","DOI":"10.1007\/s00186-007-0195-4","volume":"68","author":"L Bai","year":"2008","unstructured":"Bai L, Zhang H (2008) Dynamic mean\u2013variance problem with constrained risk control for the insurers. Math Methods Oper Res 68:181\u2013205","journal-title":"Math Methods Oper Res"},{"key":"657_CR2","doi-asserted-by":"publisher","first-page":"252","DOI":"10.1007\/s10957-012-0138-y","volume":"157","author":"J Bi","year":"2013","unstructured":"Bi J, Guo J (2013) Optimal mean\u2013variance problem with constrained controls in a jump-diffusion financial market for an insurer. J Optim Theory Appl 157:252\u2013275","journal-title":"J Optim Theory Appl"},{"key":"657_CR3","doi-asserted-by":"publisher","first-page":"245","DOI":"10.1016\/j.insmatheco.2016.06.012","volume":"70","author":"J Bi","year":"2016","unstructured":"Bi J, Liang Z, Xu F (2016) Optimal mean\u2013variance investment and reinsurance problems for the risk model with common shock dependent risks. Insur Math Econ 70:245\u2013258","journal-title":"Insur Math Econ"},{"key":"657_CR4","doi-asserted-by":"publisher","first-page":"167","DOI":"10.1080\/17442508008833160","volume":"4","author":"T Bj\u00f6rk","year":"1980","unstructured":"Bj\u00f6rk T (1980) Finite dimensinal optimal filters for a class of It\u00f4-processes with jumping parameters. Stochastics 4:167\u2013183","journal-title":"Stochastics"},{"key":"657_CR5","doi-asserted-by":"publisher","first-page":"937","DOI":"10.1287\/moor.20.4.937","volume":"20","author":"S Browne","year":"1995","unstructured":"Browne S (1995) Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Math Oper Res 20:937\u2013957","journal-title":"Math Oper Res"},{"key":"657_CR6","doi-asserted-by":"publisher","first-page":"159","DOI":"10.1007\/s00186-005-0446-1","volume":"62","author":"N B\u00e4uerle","year":"2005","unstructured":"B\u00e4uerle N (2005) Benchmark and mean\u2013variance problems for insurers. Math Methods Oper Res 62:159\u2013165","journal-title":"Math Methods Oper Res"},{"key":"657_CR7","doi-asserted-by":"publisher","first-page":"871","DOI":"10.1016\/j.insmatheco.2013.10.004","volume":"53","author":"P Chen","year":"2013","unstructured":"Chen P, Yam SCP (2013) Optimal proportional reinsurance and investment with regime switching for mean\u2013variance insurers. Insur Math Econ 53:871\u2013883","journal-title":"Insur Math Econ"},{"issue":"3","key":"657_CR8","doi-asserted-by":"publisher","first-page":"456","DOI":"10.1016\/j.insmatheco.2008.09.001","volume":"43","author":"P Chen","year":"2008","unstructured":"Chen P, Yang H, Yin G (2008) Markowitz\u2019s mean\u2013variance asset-liability management with regime switching: a continuous time model. Insur Math Econ 43(3):456\u2013465","journal-title":"Insur Math Econ"},{"key":"657_CR9","volume-title":"Stochastic calculus and applications","author":"RJ Elliott","year":"1982","unstructured":"Elliott RJ (1982) Stochastic calculus and applications. Springer, New York"},{"key":"657_CR10","volume-title":"Controlled Markov processes and viscosity solutions","author":"WH Fleming","year":"1993","unstructured":"Fleming WH, Soner HM (1993) Controlled Markov processes and viscosity solutions. Springer, Berlin"},{"key":"657_CR11","doi-asserted-by":"publisher","first-page":"109","DOI":"10.1016\/j.insmatheco.2011.10.007","volume":"50","author":"L Gong","year":"2012","unstructured":"Gong L, Badescu AL, Cheung ECK (2012) Recursive methods for a multi-dimensional risk process with common shocks. Insur Math Econ 50:109\u2013120","journal-title":"Insur Math Econ"},{"issue":"2","key":"657_CR12","doi-asserted-by":"publisher","first-page":"41","DOI":"10.1080\/10920277.2001.10595984","volume":"5","author":"MR Hardy","year":"2001","unstructured":"Hardy MR (2001) A regime-switching model of long-term stock returns. N Am Actuar J 5(2):41\u201353","journal-title":"N Am Actuar J"},{"key":"657_CR13","doi-asserted-by":"publisher","first-page":"1540","DOI":"10.1137\/S0363012900378504","volume":"40","author":"X Li","year":"2002","unstructured":"Li X, Zhou X, Lim AEB (2002) Dynamic mean-variance portfolio selection with no-shorting constraints. SIAM J Control Optim 40:1540\u20131555","journal-title":"SIAM J Control Optim"},{"key":"657_CR14","doi-asserted-by":"publisher","first-page":"156","DOI":"10.1016\/j.insmatheco.2014.01.011","volume":"55","author":"Z Liang","year":"2014","unstructured":"Liang Z, Bayraktar E (2014) Optimal reinsurance and investment with unobservable claim size and intensity. Insur Math Econ 55:156\u2013166","journal-title":"Insur Math Econ"},{"key":"657_CR15","doi-asserted-by":"publisher","first-page":"567","DOI":"10.1016\/j.insmatheco.2012.07.010","volume":"51","author":"X Liang","year":"2012","unstructured":"Liang X, Wang G (2012) On a reduced form credit risk model with common shock and regime switching. Insur Math Econ 51:567\u2013575","journal-title":"Insur Math Econ"},{"key":"657_CR16","doi-asserted-by":"publisher","first-page":"18","DOI":"10.1080\/03461238.2014.892899","volume":"1","author":"Z Liang","year":"2016","unstructured":"Liang Z, Yuen KC (2016) Optimal dynamic reinsurance with dependent risks: variance premium principle. Scand Actuar J 1:18\u201336","journal-title":"Scand Actuar J"},{"key":"657_CR17","doi-asserted-by":"publisher","first-page":"207","DOI":"10.1016\/j.insmatheco.2011.04.005","volume":"49","author":"Z Liang","year":"2011","unstructured":"Liang Z, Yuen KC, Guo J (2011) Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Insur Math Econ 49:207\u2013215","journal-title":"Insur Math Econ"},{"key":"657_CR18","first-page":"77","volume":"7","author":"H Markowitz","year":"1952","unstructured":"Markowitz H (1952) Portfolio selection. J Finance 7:77\u201391","journal-title":"J Finance"},{"key":"657_CR19","doi-asserted-by":"publisher","first-page":"1851","DOI":"10.2307\/2329621","volume":"7","author":"RC Merton","year":"1972","unstructured":"Merton RC (1972) An analytical derivation of the efficient portfolio frontier. J Financ Quant Anal 7:1851\u20131872","journal-title":"J Financ Quant Anal"},{"key":"657_CR20","doi-asserted-by":"publisher","first-page":"162","DOI":"10.1017\/S144618111600016X","volume":"58","author":"Z Ming","year":"2016","unstructured":"Ming Z, Liang Z, Zhang C (2016) Optimal mean-variance reinsurance with common shock dependence. ANZIAM 58:162\u2013181","journal-title":"ANZIAM"},{"issue":"3","key":"657_CR21","first-page":"109","volume":"9","author":"D Promislow","year":"2005","unstructured":"Promislow D, Young V (2005) Minimizing the probability of ruin when claims follow Brownian motion with drift. N Am Actuar J 9(3):109\u2013128","journal-title":"N Am Actuar J"},{"key":"657_CR22","doi-asserted-by":"publisher","first-page":"890","DOI":"10.1214\/aoap\/1031863173","volume":"12","author":"H Schmidli","year":"2002","unstructured":"Schmidli H (2002) On minimizing the ruin probability by investment and reinsurance. Ann Appl Probab 12:890\u2013907","journal-title":"Ann Appl Probab"},{"key":"657_CR23","doi-asserted-by":"publisher","first-page":"371","DOI":"10.1016\/j.insmatheco.2012.01.003","volume":"50","author":"H Wu","year":"2012","unstructured":"Wu H, Li Z (2012) Multi-period mean-variance portfolio selection with regime switching and stochastic cash flow. Insur Math Econ 50:371\u2013384","journal-title":"Insur Math Econ"},{"key":"657_CR24","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-1466-3","volume-title":"Stochastic controls: Hamilton systems and HJB equations","author":"J Yong","year":"1999","unstructured":"Yong J, Zhou X (1999) Stochastic controls: Hamilton systems and HJB equations. Springer, New York"},{"key":"657_CR25","doi-asserted-by":"publisher","first-page":"205","DOI":"10.1016\/S0167-6687(02)00150-6","volume":"31","author":"KC Yuen","year":"2002","unstructured":"Yuen KC, Guo J, Wu X (2002) On a correlated aggregate claims model with Poisson and Erlang risk process. Insur Math Econ 31:205\u2013214","journal-title":"Insur Math Econ"},{"key":"657_CR26","doi-asserted-by":"publisher","first-page":"298","DOI":"10.1016\/j.insmatheco.2005.08.011","volume":"38","author":"KC Yuen","year":"2006","unstructured":"Yuen KC, Guo J, Wu X (2006) On the first time of ruin in the bivariate compound Poisson model. Insur Math Econ 38:298\u2013308","journal-title":"Insur Math Econ"},{"key":"657_CR27","doi-asserted-by":"publisher","first-page":"1","DOI":"10.1016\/j.insmatheco.2015.04.009","volume":"64","author":"KC Yuen","year":"2015","unstructured":"Yuen KC, Liang Z, Zhou M (2015) Optimal proportional reinsurance with common shock dependence. Insur Math Econ 64:1\u201313","journal-title":"Insur Math Econ"},{"key":"657_CR28","unstructured":"Zhang X (2009) Applications of Markov-modulated processes in insurance and finance. Doctoral Dissertation"},{"key":"657_CR29","doi-asserted-by":"publisher","first-page":"19","DOI":"10.1007\/s002450010003","volume":"42","author":"X Zhou","year":"2000","unstructured":"Zhou X, Li D (2000) Continuous-time mean-variance portfolio selection: a stochastic LQ framework. Appl Math Opt 42:19\u201333","journal-title":"Appl Math Opt"},{"issue":"4","key":"657_CR30","doi-asserted-by":"publisher","first-page":"1466","DOI":"10.1137\/S0363012902405583","volume":"42","author":"X Zhou","year":"2003","unstructured":"Zhou X, Yin G (2003) Markowitz\u2019s mean-variance portfolio selection with regime switching: a continuous-time model. SIAM J Control Optim 42(4):1466\u20131482","journal-title":"SIAM J Control Optim"}],"container-title":["Mathematical Methods of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s00186-018-00657-3\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00186-018-00657-3.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s00186-018-00657-3.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,1,15]],"date-time":"2020-01-15T19:03:58Z","timestamp":1579115038000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s00186-018-00657-3"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019,1,16]]},"references-count":30,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2019,8]]}},"alternative-id":["657"],"URL":"https:\/\/doi.org\/10.1007\/s00186-018-00657-3","relation":{},"ISSN":["1432-2994","1432-5217"],"issn-type":[{"value":"1432-2994","type":"print"},{"value":"1432-5217","type":"electronic"}],"subject":[],"published":{"date-parts":[[2019,1,16]]},"assertion":[{"value":"24 April 2018","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"16 January 2019","order":2,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}}]}}