{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,13]],"date-time":"2025-12-13T02:42:48Z","timestamp":1765593768973,"version":"3.48.0"},"reference-count":37,"publisher":"Springer Science and Business Media LLC","issue":"6","license":[{"start":{"date-parts":[[2024,7,11]],"date-time":"2024-07-11T00:00:00Z","timestamp":1720656000000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"},{"start":{"date-parts":[[2024,7,11]],"date-time":"2024-07-11T00:00:00Z","timestamp":1720656000000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.springernature.com\/gp\/researchers\/text-and-data-mining"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":["J Syst Sci Complex"],"published-print":{"date-parts":[[2025,12]]},"DOI":"10.1007\/s11424-024-3074-7","type":"journal-article","created":{"date-parts":[[2024,7,10]],"date-time":"2024-07-10T21:01:32Z","timestamp":1720645292000},"page":"2520-2547","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["On Penalized Goal-Reaching Probability Minimization with a Common Shock for an AAI"],"prefix":"10.1007","volume":"38","author":[{"given":"Ying","family":"Huang","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ya","family":"Huang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jieming","family":"Zhou","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2024,7,11]]},"reference":[{"issue":"4","key":"3074_CR1","doi-asserted-by":"publisher","first-page":"937","DOI":"10.1287\/moor.20.4.937","volume":"20","author":"S Browne","year":"1995","unstructured":"Browne S, Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin, Mathematics of Operations Research, 1995, 20(4): 937\u2013958.","journal-title":"Mathematics of Operations Research"},{"issue":"3","key":"3074_CR2","doi-asserted-by":"publisher","first-page":"110","DOI":"10.1080\/10920277.2005.10596214","volume":"9","author":"S D Promislow","year":"2005","unstructured":"Promislow S D and Young V R, Minimizing the probability of ruin when claim follow Brownian motion with drift, North American Actuarial Journal, 2005, 9(3): 110\u2013128.","journal-title":"North American Actuarial Journal"},{"issue":"6","key":"3074_CR3","doi-asserted-by":"publisher","first-page":"946","DOI":"10.1080\/17442508.2016.1155590","volume":"88","author":"B Angoshtari","year":"2016","unstructured":"Angoshtari B, Bayraktar E, and Young V R, Optimal investment to minimize the probability of drawdown, Stochastics, 2016, 88(6): 946\u2013958.","journal-title":"Stochastics"},{"key":"3074_CR4","first-page":"143","volume":"87","author":"D P Li","year":"2019","unstructured":"Li D P and Young V R, Optimal reinsurance to minimize the discounted probability of ruin under ambiguity, Insurance: Mathematics and Economics, 2019, 87): 143\u2013152.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"10","key":"3074_CR5","doi-asserted-by":"publisher","first-page":"879","DOI":"10.1080\/03461238.2020.1788136","volume":"2020","author":"X Han","year":"2020","unstructured":"Han X, Liang Z B, and Young V R, Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle, Scandinavian Actuarial Journal, 2020, 2020(10): 879\u2013903.","journal-title":"Scandinavian Actuarial Journal"},{"issue":"3","key":"3074_CR6","first-page":"674","volume":"51","author":"A L Gu","year":"2012","unstructured":"Gu A L, Guo X P, Li Z F, et al., Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model, Insurance: Mathematics and Economics, 2012, 51(3): 674\u2013684.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"6","key":"3074_CR7","doi-asserted-by":"publisher","first-page":"1326","DOI":"10.1007\/s11424-015-3065-9","volume":"28","author":"D P Li","year":"2015","unstructured":"Li D P, Rong X M, and Zhao H, Optimal investment problem for an insurer and a reinsurer, Journal of Systems Science & Complexity, 2015, 28(6): 1326\u20131343.","journal-title":"Journal of Systems Science & Complexity"},{"issue":"12","key":"3074_CR8","doi-asserted-by":"publisher","first-page":"2982","DOI":"10.1080\/00207179.2019.1573320","volume":"93","author":"C Deng","year":"2020","unstructured":"Deng C, Bian W L, and Wu B Y, Optimal reinsurance and investment problem with default risk and bounded memory, International Journal of Control, 2020, 93(12): 2982\u20132994.","journal-title":"International Journal of Control"},{"issue":"1","key":"3074_CR9","doi-asserted-by":"publisher","first-page":"97","DOI":"10.1007\/s10473-023-0107-6","volume":"43","author":"Y Zhang","year":"2023","unstructured":"Zhang Y, Zhao P B, and Zhou H R, The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility, Acta Mathematica Scientia, 2023, 43(1): 97\u2013124.","journal-title":"Acta Mathematica Scientia"},{"issue":"1","key":"3074_CR10","first-page":"145","volume":"49","author":"Y Zeng","year":"2011","unstructured":"Zeng Y and Li Z F, Optimal time-consistent investment and reinsurance policies for mean-variance insurers, Insurance: Mathematics and Economics, 2011, 49(1): 145\u2013154.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"1","key":"3074_CR11","first-page":"191","volume":"51","author":"Z F Li","year":"2012","unstructured":"Li Z F, Zeng Y, and Lai Y Z, Optimal time-consistent investment and reinsurance strategies for insurers under Heston\u2019s SV model, Insurance: Mathematics and Economics, 2012, 51(1): 191\u2013203.","journal-title":"Insurance: Mathematics and Economics"},{"key":"3074_CR12","first-page":"118","volume":"62","author":"Y Shen","year":"2015","unstructured":"Shen Y and Zeng Y, Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process, Insurance: Mathematics and Economics, 2015, 62): 118\u2013137.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"4","key":"3074_CR13","doi-asserted-by":"publisher","first-page":"661","DOI":"10.1093\/imaman\/dpac002","volume":"34","author":"P Yang","year":"2023","unstructured":"Yang P and Chen Z P, Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework, IMA Journal of Management Mathematics, 2023, 34(4): 661\u2013694.","journal-title":"IMA Journal of Management Mathematics"},{"key":"3074_CR14","doi-asserted-by":"publisher","first-page":"261","DOI":"10.1016\/j.cam.2018.08.049","volume":"348","author":"S Luo","year":"2019","unstructured":"Luo S, Wang M, and Zhu W, Maximizing a robust goal-reaching probability with penalization on ambiguity, Journal of Computational and Applied Mathematics, 2019, 348): 261\u2013281.","journal-title":"Journal of Computational and Applied Mathematics"},{"issue":"2","key":"3074_CR15","doi-asserted-by":"publisher","first-page":"468","DOI":"10.1287\/moor.22.2.468","volume":"22","author":"S Browne","year":"1997","unstructured":"Browne S, Survival and growth with a liability: Optimal portfolio strategies in continuous time, Mathematics of Operations Research, 1997, 22(2): 468\u2013493.","journal-title":"Mathematics of Operations Research"},{"issue":"1","key":"3074_CR16","first-page":"64","volume":"48","author":"M Taksar","year":"2011","unstructured":"Taksar M and Zeng X D, Optimal non-proportional reinsurance control and stochastic differential games, Insurance: Mathematics and Economics, 2011, 48(1): 64\u201371.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"2","key":"3074_CR17","first-page":"229","volume":"37","author":"M D L Centeno","year":"2005","unstructured":"Centeno M D L, Dependent risks and excess of loss reinsurance, Insurance: Mathematics and Economics, 2005, 37(2): 229\u2013238.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"3","key":"3074_CR18","first-page":"664","volume":"53","author":"L H Bai","year":"2013","unstructured":"Bai L H, Cai J, and Zhou M, Optimal reinsurance polices for an insurer with a bivariate reserve risk process in a dynamic setting, Insurance: Mathematics and Economics, 2013, 53(3): 664\u2013670.","journal-title":"Insurance: Mathematics and Economics"},{"key":"3074_CR19","first-page":"1","volume":"64","author":"K C Yuen","year":"2015","unstructured":"Yuen K C, Liang Z B, and Zhou M, Optimal proportional reinsurance with common shock dependence, Insurance: Mathematics and Economics, 2015, 64): 1\u201313.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"2","key":"3074_CR20","doi-asserted-by":"publisher","first-page":"162","DOI":"10.1017\/S144618111600016X","volume":"58","author":"Z Q Ming","year":"2016","unstructured":"Ming Z Q, Liang Z B, and Zhang C B, Optimal mean-variance reinsurance with common shock dependence, The ANZIAM Journal, 2016, 58(2): 162\u2013181.","journal-title":"The ANZIAM Journal"},{"issue":"1","key":"3074_CR21","doi-asserted-by":"publisher","first-page":"18","DOI":"10.1080\/03461238.2014.892899","volume":"2016","author":"Z B Liang","year":"2016","unstructured":"Liang Z B and Yuen K C, Optimal dynamic reinsurance with dependent risks: Variance premium principle, Scandinavian Actuarial Journal, 2016, 2016(1): 18\u201336.","journal-title":"Scandinavian Actuarial Journal"},{"key":"3074_CR22","doi-asserted-by":"publisher","first-page":"637","DOI":"10.1007\/s12190-017-1119-y","volume":"56","author":"Z B Liang","year":"2018","unstructured":"Liang Z B, Yuen K C, and Zhang C B, Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence, Journal of Applied Mathematics and Computing, 2018, 56): 637\u2013664.","journal-title":"Journal of Applied Mathematics and Computing"},{"key":"3074_CR23","first-page":"157","volume":"89","author":"J Y Sun","year":"2019","unstructured":"Sun J Y, Yao H X, and Kang Z L, Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks, Insurance: Mathematics and Economics, 2019, 89): 157\u2013170.","journal-title":"Insurance: Mathematics and Economics"},{"key":"3074_CR24","doi-asserted-by":"publisher","first-page":"1169","DOI":"10.1007\/s11009-021-09902-5","volume":"24","author":"Y X Tian","year":"2022","unstructured":"Tian Y X, Sun Z Y, and Guo J Y, Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process, Methodology and Computing in Applied Probability, 2022, 24): 1169\u20131191.","journal-title":"Methodology and Computing in Applied Probability"},{"key":"3074_CR25","unstructured":"Anderson E W, Hansen L P, and Sargent T J, Robustness detection and the price of risk, Working Paper, Stanford, 2000."},{"issue":"3","key":"3074_CR26","first-page":"601","volume":"53","author":"B Yi","year":"2013","unstructured":"Yi B, Li Z F, Viens F G, et al., Robust optimal control for an insurer with reinsurance and investment under Heston\u2019s stochastic volatility model, Insurance: Mathematics and Economics, 2013, 53(3): 601\u2013614.","journal-title":"Insurance: Mathematics and Economics"},{"key":"3074_CR27","first-page":"245","volume":"62","author":"C S Pun","year":"2015","unstructured":"Pun C S and Wong H Y, Robust investment-reinsurance optimization with multiscale stochastic volatility, Insurance: Mathematics and Economics, 2015, 62): 245\u2013256.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"1","key":"3074_CR28","doi-asserted-by":"publisher","first-page":"187","DOI":"10.1017\/asb.2019.34","volume":"50","author":"X Q Liang","year":"2020","unstructured":"Liang X Q and Young V R, Reaching a bequest goal with life insurance: Ambiguity about the risky asset\u2019s drift and mortality\u2019s hazard rate, ASTIN Bulletin: The Journal of the IAA, 2020, 50(1): 187\u2013221.","journal-title":"ASTIN Bulletin: The Journal of the IAA"},{"issue":"12","key":"3074_CR29","doi-asserted-by":"publisher","first-page":"5036","DOI":"10.1016\/j.jbankfin.2013.08.023","volume":"37","author":"N Branger","year":"2013","unstructured":"Branger N and Larsen L S, Robust portfolio choice with uncertainty about jump and diffusion risk, Journal of Banking & Finance, 2013, 37(12): 5036\u20135047.","journal-title":"Journal of Banking & Finance"},{"issue":"1","key":"3074_CR30","doi-asserted-by":"publisher","first-page":"58","DOI":"10.1137\/140955999","volume":"53","author":"E Bayraktar","year":"2015","unstructured":"Bayraktar E and Zhang Y C, Minimizing the probability of lifetime ruin under ambiguity aversion, SIAM Journal on Control and Optimization, 2015, 53(1): 58\u201390.","journal-title":"SIAM Journal on Control and Optimization"},{"key":"3074_CR31","first-page":"77","volume":"67","author":"X X Zheng","year":"2016","unstructured":"Zheng X X, Zhou J M, and Sun Z Y, Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model, Insurance: Mathematics and Economics, 2016, 67): 77\u201387.","journal-title":"Insurance: Mathematics and Economics"},{"key":"3074_CR32","first-page":"159","volume":"88","author":"H Zhao","year":"2019","unstructured":"Zhao H, Shen Y, Zeng Y, et al., Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion, Insurance: Mathematics and Economics, 2019, 88): 159\u2013180.","journal-title":"Insurance: Mathematics and Economics"},{"key":"3074_CR33","first-page":"27","volume":"92","author":"Z P Chen","year":"2020","unstructured":"Chen Z P and Yang P, Robust optimal reinsurance-investment strategy with price jumps and correlated claims, Insurance: Mathematics and Economics, 2020, 92): 27\u201346.","journal-title":"Insurance: Mathematics and Economics"},{"issue":"2","key":"3074_CR34","doi-asserted-by":"publisher","first-page":"463","DOI":"10.1080\/02331934.2021.1970754","volume":"72","author":"H Chang","year":"2023","unstructured":"Chang H and Li J A, Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model, Optimization, 2023, 72(2): 463\u2013492.","journal-title":"Optimization"},{"key":"3074_CR35","volume-title":"Brownian Motion and Stochastic Caculus","author":"I Karatzas","year":"2012","unstructured":"Karatzas I and Shreve S, Brownian Motion and Stochastic Caculus, Springer Science & Business Media, New York, 2012."},{"key":"3074_CR36","volume-title":"Controlled Markov Processes and Viscosity Solutions","author":"W Fleming","year":"2006","unstructured":"Fleming W and Soner M, Controlled Markov Processes and Viscosity Solutions, Springer, New York, 2006."},{"issue":"3","key":"3074_CR37","first-page":"968","volume":"42","author":"L H Bai","year":"2008","unstructured":"Bai L H and Guo J Y, Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint, Insurance: Mathematics and Economics, 2008, 42(3): 968\u2013975.","journal-title":"Insurance: Mathematics and Economics"}],"container-title":["Journal of Systems Science and Complexity"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-024-3074-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/article\/10.1007\/s11424-024-3074-7\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/link.springer.com\/content\/pdf\/10.1007\/s11424-024-3074-7.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,12,13]],"date-time":"2025-12-13T02:39:05Z","timestamp":1765593545000},"score":1,"resource":{"primary":{"URL":"https:\/\/link.springer.com\/10.1007\/s11424-024-3074-7"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2024,7,11]]},"references-count":37,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2025,12]]}},"alternative-id":["3074"],"URL":"https:\/\/doi.org\/10.1007\/s11424-024-3074-7","relation":{},"ISSN":["1009-6124","1559-7067"],"issn-type":[{"type":"print","value":"1009-6124"},{"type":"electronic","value":"1559-7067"}],"subject":[],"published":{"date-parts":[[2024,7,11]]},"assertion":[{"value":"2 March 2023","order":1,"name":"received","label":"Received","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"11 September 2023","order":2,"name":"revised","label":"Revised","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"11 July 2024","order":3,"name":"first_online","label":"First Online","group":{"name":"ArticleHistory","label":"Article History"}},{"value":"The authors declare no conflict of interest.","order":1,"name":"Ethics","group":{"name":"EthicsHeading","label":"Conflict of Interest"}}]}}