{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,3,20]],"date-time":"2024-03-20T06:38:00Z","timestamp":1710916680274},"reference-count":25,"publisher":"Springer Science and Business Media LLC","issue":"5","license":[{"start":{"date-parts":[[2012,10,1]],"date-time":"2012-10-01T00:00:00Z","timestamp":1349049600000},"content-version":"tdm","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J Syst Sci Complex"],"published-print":{"date-parts":[[2012,10]]},"DOI":"10.1007\/s11424-012-0058-9","type":"journal-article","created":{"date-parts":[[2012,10,17]],"date-time":"2012-10-17T17:34:35Z","timestamp":1350495275000},"page":"926-941","source":"Crossref","is-referenced-by-count":2,"title":["Optimal investment and proportional reinsurance in the Sparre Andersen model"],"prefix":"10.1007","volume":"25","author":[{"given":"Zhibin","family":"Liang","sequence":"first","affiliation":[]},{"given":"Junyi","family":"Guo","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2012,10,18]]},"reference":[{"key":"58_CR1","doi-asserted-by":"crossref","first-page":"937","DOI":"10.1287\/moor.20.4.937","volume":"20","author":"S. Browne","year":"1995","unstructured":"S. Browne, Optimal investment policies for a firm with random risk process:exponential utility and minimizing the probability of ruin, Mathematics of Operations Research, 1995, 20: 937\u2013958.","journal-title":"Mathematics of Operations Research"},{"key":"58_CR2","doi-asserted-by":"crossref","first-page":"166","DOI":"10.1080\/03461238.1998.10414000","volume":"1","author":"B. H\u00f8jgaard","year":"1998","unstructured":"B. H\u00f8jgaard and H. Taksar, Optimal proportional reinsurance policies for diffusion models, Scandinavian Actuarial Journal, 1998, 1: 166\u2013180.","journal-title":"Scandinavian Actuarial Journal"},{"key":"58_CR3","doi-asserted-by":"crossref","first-page":"215","DOI":"10.1016\/S0167-6687(00)00049-4","volume":"27","author":"C. Hipp","year":"2000","unstructured":"C. Hipp and M. Plum, Optimal investment for insurers, Insurance: Mathematics and Economics, 2000, 27: 215\u2013228.","journal-title":"Insurance: Mathematics and Economics"},{"key":"58_CR4","doi-asserted-by":"crossref","first-page":"299","DOI":"10.1007\/s007800200095","volume":"7","author":"C. Hipp","year":"2003","unstructured":"C. Hipp and M. Plum, Optimal investment for investors with state dependent income, and for insurers, Finance and Stochastics, 2003, 7: 299\u2013321.","journal-title":"Finance and Stochastics"},{"key":"58_CR5","doi-asserted-by":"crossref","first-page":"55","DOI":"10.1080\/034612301750077338","volume":"1","author":"H. Schmidli","year":"2001","unstructured":"H. Schmidli, Optimal proportional reinsurance policies in a dynamic setting, Scandinavian Actuarial Journal, 2001, 1: 55\u201368.","journal-title":"Scandinavian Actuarial Journal"},{"key":"58_CR6","doi-asserted-by":"crossref","first-page":"890","DOI":"10.1214\/aoap\/1031863173","volume":"12","author":"H. Schmidli","year":"2002","unstructured":"H. Schmidli, On minimizing the ruin probability by investment and reinsurance, Annals of Applied Probability, 2002, 12: 890\u2013907.","journal-title":"Annals of Applied Probability"},{"issue":"2","key":"58_CR7","doi-asserted-by":"crossref","first-page":"11","DOI":"10.1080\/10920277.2004.10596134","volume":"8","author":"C. Liu","year":"2004","unstructured":"C. Liu and H. Yang, Optimal investment for a insurer to minimize its probability of ruin, North American Acruarial Journal, 2004, 8(2): 11\u201331.","journal-title":"North American Acruarial Journal"},{"issue":"3","key":"58_CR8","doi-asserted-by":"crossref","first-page":"477","DOI":"10.1007\/s10255-007-0387-y","volume":"23","author":"Z. Liang","year":"2007","unstructured":"Z. Liang, Optimal proportional reinsurance for controlled risk process which is perturbed by diffusion, Acta Mathematicae Applicatae Sinica, English Series, 2007, 23(3): 477\u2013488.","journal-title":"Acta Mathematicae Applicatae Sinica, English Series"},{"key":"58_CR9","doi-asserted-by":"crossref","first-page":"968","DOI":"10.1016\/j.insmatheco.2007.11.002","volume":"42","author":"L. Bai","year":"2008","unstructured":"L. Bai and J. Guo, Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint, Insurance: Mathematics and Economics, 2008, 42: 968\u2013975.","journal-title":"Insurance: Mathematics and Economics"},{"key":"58_CR10","doi-asserted-by":"crossref","first-page":"157","DOI":"10.1016\/j.insmatheco.2009.05.006","volume":"45","author":"Y. Cao","year":"2009","unstructured":"Y. Cao and N. Wan, Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation, Insurance: Mathematics and Economics, 2009, 45: 157\u2013162.","journal-title":"Insurance: Mathematics and Economics"},{"key":"58_CR11","doi-asserted-by":"crossref","first-page":"473","DOI":"10.1016\/j.insmatheco.2009.01.004","volume":"44","author":"X. Zhang","year":"2009","unstructured":"X. Zhang, K. Zhang, and X. Yu, Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth, Insurance: Mathematics and Economics, 2009, 44: 473\u2013478.","journal-title":"Insurance: Mathematics and Economics"},{"key":"58_CR12","doi-asserted-by":"crossref","first-page":"587","DOI":"10.1002\/oca.965","volume":"32","author":"Z. Liang","year":"2011","unstructured":"Z. Liang, L. Bai, and J. Guo, Optimal investment and proportional reinsurance with constrained control variables, Optimal Control, Applications and Methods, 2011, 32: 587\u2013608.","journal-title":"Optimal Control, Applications and Methods"},{"key":"58_CR13","doi-asserted-by":"crossref","first-page":"615","DOI":"10.1016\/j.insmatheco.2005.06.009","volume":"37","author":"H. Yang","year":"2005","unstructured":"H. Yang and L. Zhang, Optimal investment for insurer with jump-diffusion risk process, Insurance: Mathematics and Economics, 2005, 37: 615\u2013634.","journal-title":"Insurance: Mathematics and Economics"},{"key":"58_CR14","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1080\/03461230410000538","volume":"5","author":"C. Hipp","year":"2004","unstructured":"C. Hipp and H. Schmidli, Asymptotics of ruin probabilities for controlled risk processes in the small claims case, Scandinavian Actuarial Journal, 2004, 5: 321\u2013335.","journal-title":"Scandinavian Actuarial Journal"},{"key":"58_CR15","doi-asserted-by":"crossref","first-page":"1054","DOI":"10.1214\/aoap\/1060202834","volume":"13","author":"J. Gaier","year":"2003","unstructured":"J. Gaier, P. Grandits, and W. Schachermeyer, Asymptotic ruin probabilities and optimal investment, Annals of Applied Probability, 2003, 13: 1054\u20131076.","journal-title":"Annals of Applied Probability"},{"key":"58_CR16","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1080\/03461238.1979.10413708","volume":"1","author":"H. Waters","year":"1979","unstructured":"H. Waters, Excess of loss reinsurance limits, Scandinavian Actuarial Journal, 1979, 1: 37\u201343.","journal-title":"Scandinavian Actuarial Journal"},{"key":"58_CR17","doi-asserted-by":"crossref","first-page":"415","DOI":"10.1016\/S0167-6687(02)00187-7","volume":"31","author":"M. L. Centeno","year":"2002","unstructured":"M. L. Centeno, Excess of loss reinsurance and Gerber\u2019s inequality in the Sparre Anderson model, Insurance: Mathematics and Economics, 2002a, 31: 415\u2013427.","journal-title":"Insurance: Mathematics and Economics"},{"key":"58_CR18","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1016\/S0167-6687(01)00095-6","volume":"30","author":"M. L. Centeno","year":"2002","unstructured":"M. L. Centeno, Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model, Insurance: Mathematics and Economics, 2002b, 30: 37\u201349.","journal-title":"Insurance: Mathematics and Economics"},{"key":"58_CR19","doi-asserted-by":"crossref","first-page":"75","DOI":"10.2143\/AST.34.1.504955","volume":"34","author":"M. Hald","year":"2004","unstructured":"M. Hald and H. Schmidli, On the maximisation of the adjustment coefficient under proportional reinsurance, ASTIN Bulletin, 2004, 34: 75\u201383.","journal-title":"ASTIN Bulletin"},{"issue":"2","key":"58_CR20","doi-asserted-by":"crossref","first-page":"333","DOI":"10.1080\/15326340701300894","volume":"23","author":"Z. Liang","year":"2007","unstructured":"Z. Liang and J. Guo, Optimal proportional reinsurance and ruin probability, Stochastic Models, 2007, 23(2): 333\u2013350.","journal-title":"Stochastic Models"},{"key":"58_CR21","doi-asserted-by":"crossref","first-page":"109","DOI":"10.1002\/asmb.694","volume":"24","author":"Z. Liang","year":"2008","unstructured":"Z. Liang and J. Guo, Upper bound for ruin probabilities under optimal investment and proportional reinsurance, Applied Stochastic Models in Business and Industry, 2008, 24: 109\u2013128.","journal-title":"Applied Stochastic Models in Business and Industry"},{"key":"58_CR22","doi-asserted-by":"crossref","first-page":"2197","DOI":"10.1080\/STA-200066455","volume":"34","author":"K. C. Yuen","year":"2005","unstructured":"K. C. Yuen, H. Yang, and R. Wang, On Erlang(2) risk process perturbed by diffusion, Communications in Statistics \u2014 Theory and Methods, 2005, 34: 2197\u20132208.","journal-title":"Communications in Statistics \u2014 Theory and Methods"},{"key":"58_CR23","doi-asserted-by":"crossref","first-page":"61","DOI":"10.1016\/S0167-6687(02)00204-4","volume":"32","author":"J. Cai","year":"2003","unstructured":"J. Cai and D. C. M. Dickson, Upper bounds for ultimate ruin probabilities in the Sparre Anderson model with interest, Insurance: Mathematics and Economics, 2003, 32: 61\u201371.","journal-title":"Insurance: Mathematics and Economics"},{"key":"58_CR24","doi-asserted-by":"crossref","first-page":"61","DOI":"10.2143\/AST.35.1.583166","volume":"35","author":"S. Li","year":"2005","unstructured":"S. Li and J. Garrido, Ruin probabilities for two classes of risk processes, Astin Bulletin, 2005, 35: 61\u201377.","journal-title":"Astin Bulletin"},{"key":"58_CR25","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4613-9058-9","volume-title":"Aspects of Risk Theory","author":"J. Grandell","year":"1991","unstructured":"J. Grandell, Aspects of Risk Theory, Springer-Verlag, NY, 1991."}],"container-title":["Journal of Systems Science and Complexity"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-012-0058-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s11424-012-0058-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-012-0058-9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,6,1]],"date-time":"2019-06-01T10:54:02Z","timestamp":1559386442000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/s11424-012-0058-9"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2012,10]]},"references-count":25,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2012,10]]}},"alternative-id":["58"],"URL":"https:\/\/doi.org\/10.1007\/s11424-012-0058-9","relation":{},"ISSN":["1009-6124","1559-7067"],"issn-type":[{"value":"1009-6124","type":"print"},{"value":"1559-7067","type":"electronic"}],"subject":[],"published":{"date-parts":[[2012,10]]}}}