Edit Profile (opens in new tab) Luo, Shangzhen Compute Distance To: Compute Author ID: luo.shangzhen Published as: Luo, Shangzhen External Links: MGP Documents Indexed: 23 Publications since 2001 Co-Authors: 7 Co-Authors with 13 Joint Publications 310 Co-Co-Authors all top 5 Co-Authors 9 single-authored 5 Taksar, Michael I. 4 Wang, Mingming 3 Zeng, Xudong 2 Belkina, Tatiana 2 Tsoi, Allanus H. 2 Zhu, Wei 1 Gilmore, John H. 1 Hipp, Christian 1 Styner, Martin A. 1 Zhu, Hongtu all top 5 Serials 4 Insurance Mathematics & Economics 3 Scandinavian Actuarial Journal 2 Journal of Computational and Applied Mathematics 2 Stochastic Analysis and Applications 2 North American Actuarial Journal 2 Risk and Decision Analysis 1 Advances in Applied Probability 1 Theory of Probability and its Applications 1 Journal of the American Statistical Association 1 Journal of Applied Probability 1 Economics Letters 1 Quantitative Finance all top 5 Fields 20 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 13 Probability theory and stochastic processes (60-XX) 13 Systems theory; control (93-XX) 3 Calculus of variations and optimal control; optimization (49-XX) 2 Statistics (62-XX) 1 Quantum theory (81-XX) 1 Operations research, mathematical programming (90-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 15 Publications have been cited 116 times in 99 Documents Cited by ▼ Year ▼ On reinsurance and investment for large insurance portfolios. Zbl 1141.91532Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus 59 2008 On absolute ruin minimization under a diffusion approximation model. Zbl 1233.91151Luo, Shangzhen; Taksar, Michael 14 2011 Optimal constrained investment in the Cramer-Lundberg model. Zbl 1401.91099Belkina, Tatiana; Hipp, Christian; Luo, Shangzhen; Taksar, Michael 10 2014 Stochastic Pareto-optimal reinsurance policies. Zbl 1290.91104Zeng, Xudong; Luo, Shangzhen 8 2013 The impact of public information on insider trading. Zbl 0968.91011Luo, S. 4 2001 Maximizing a robust goal-reaching probability with penalization on ambiguity. Zbl 1418.91248Luo, Shangzhen; Wang, Mingming; Zhu, Wei 4 2019 Minimal cost of a Brownian risk without ruin. Zbl 1285.91062Luo, Shangzhen; Taksar, Michael 3 2012 Optimal reinsurance: minimize the expected time to reach a goal. Zbl 1401.91171Luo, Shangzhen; Wang, Mingming; Zeng, Xudong 3 2016 Filtering of hidden weak Markov chain-discrete range observations. Zbl 1134.60048Luo, Shangzhen; Tsoi, Allanus H. 2 2007 Multi-period asset allocation under hidden markovianly driven noises. Zbl 1125.60034Luo, Shangzhen 2 2007 Asymptotic investment behaviors under a jump-diffusion risk process. Zbl 1414.91164Belkina, Tatiana; Luo, Shangzhen 2 2017 Ruin minimization for insurers with borrowing constraints. Zbl 1481.91179Luo, Shangzhen 2 2008 Filtering of a multi-dimension stochastic volatility model. Zbl 1217.60032Luo, Shangzhen 1 2011 Stochastic Brownian game of absolute dominance. Zbl 1304.91120Luo, Shangzhen 1 2014 A stochastic differential game for quadratic-linear diffusion processes. Zbl 1357.91021Luo, Shangzhen 1 2016 Maximizing a robust goal-reaching probability with penalization on ambiguity. Zbl 1418.91248Luo, Shangzhen; Wang, Mingming; Zhu, Wei 4 2019 Asymptotic investment behaviors under a jump-diffusion risk process. Zbl 1414.91164Belkina, Tatiana; Luo, Shangzhen 2 2017 Optimal reinsurance: minimize the expected time to reach a goal. Zbl 1401.91171Luo, Shangzhen; Wang, Mingming; Zeng, Xudong 3 2016 A stochastic differential game for quadratic-linear diffusion processes. Zbl 1357.91021Luo, Shangzhen 1 2016 Optimal constrained investment in the Cramer-Lundberg model. Zbl 1401.91099Belkina, Tatiana; Hipp, Christian; Luo, Shangzhen; Taksar, Michael 10 2014 Stochastic Brownian game of absolute dominance. Zbl 1304.91120Luo, Shangzhen 1 2014 Stochastic Pareto-optimal reinsurance policies. Zbl 1290.91104Zeng, Xudong; Luo, Shangzhen 8 2013 Minimal cost of a Brownian risk without ruin. Zbl 1285.91062Luo, Shangzhen; Taksar, Michael 3 2012 On absolute ruin minimization under a diffusion approximation model. Zbl 1233.91151Luo, Shangzhen; Taksar, Michael 14 2011 Filtering of a multi-dimension stochastic volatility model. Zbl 1217.60032Luo, Shangzhen 1 2011 On reinsurance and investment for large insurance portfolios. Zbl 1141.91532Luo, Shangzhen; Taksar, Michael; Tsoi, Allanus 59 2008 Ruin minimization for insurers with borrowing constraints. Zbl 1481.91179Luo, Shangzhen 2 2008 Filtering of hidden weak Markov chain-discrete range observations. Zbl 1134.60048Luo, Shangzhen; Tsoi, Allanus H. 2 2007 Multi-period asset allocation under hidden markovianly driven noises. Zbl 1125.60034Luo, Shangzhen 2 2007 The impact of public information on insider trading. Zbl 0968.91011Luo, S. 4 2001 all cited Publications top 5 cited Publications all top 5 Cited by 142 Authors 11 Luo, Shangzhen 9 Liang, Zhibin 7 Yuen, Kam Chuen 5 Peng, Xingchun 4 Belkina, Tat’yana Andreevna 4 Guo, Junyi 4 Hu, Yijun 4 Konyukhova, Nadja B. 4 Li, Danping 4 Li, Qicai 4 Wang, Mingming 4 Young, Virginia R. 4 Zeng, Yan 3 Bai, Lihua 3 Chen, Fenge 3 Chen, Shumin 3 Deng, Chao 3 Gu, Mengdi 3 Han, Xia 3 Li, Zhongfei 3 Liang, Xiaoqing 3 Shen, Yang 3 Yang, Peng 3 Zeng, Xudong 3 Zhang, Xin 3 Zhou, Ming 2 Golubin, A. Yu. 2 Gridin, V. N. 2 Gu, Ailing 2 Hu, Duni 2 Kurochkin, Sergey Vladimirovich 2 Lai, Yongzeng 2 Landriault, David 2 Li, Bin 2 Li, Dongchen 2 Lin, Xiang 2 Mamon, Rogemar S. 2 Rong, Ximin 2 Siu, Tak Kuen 2 Slavko, B. V. 2 Wang, Hailong 2 Wang, Ning 2 Wang, Wenyuan 2 Xu, Lin 2 Yao, Dingjun 2 Yener, Haluk 2 Zhao, Hui 2 Zhu, Huiming 2 Zhu, Wei 1 A, Chunxiang 1 Angkola, Francisca 1 Baltas, Ioannis D. 1 Bayraktar, Erhan 1 Belkina, Tatiana 1 ben Dbabis, Makram 1 Benaid, Brahim 1 Bensoussan, Alain 1 Bi, Junna 1 Bi, Xiuchun 1 Cai, Jun 1 Cao, Jing 1 Chen, Yan 1 Chen, Zhiping 1 Cheung, Ka Chun 1 Cui, Chaoran 1 Davison, Matt 1 Deng, Yingchun 1 Edoli, Enrico 1 Erlwein, Christina 1 Escobar Anel, Marcos 1 Frangos, Nikos E. 1 Fung, Eric S. 1 Gao, Xiujuan 1 Guan, Chonghu 1 Guo, Xianping 1 Hipp, Christian 1 Houmia, Anouar 1 Hu, Hanlei 1 Huang, Ya 1 Huang, Yujuan 1 Jin, Zhuo 1 Li, Kemian 1 Li, Yin 1 Liang, Jin 1 Liang, Zhibing 1 Liang, Zongxia 1 Liu, Jingzhen 1 Liu, Yanchu 1 Loke, Sooie-Hoe 1 Long, Mingsi 1 Mao, Xuerong 1 Mejai, Maher 1 Meng, Hui 1 Meng, Qingbin 1 Ng, Michael Kwok-Po 1 Pan, Jian 1 Pun, Chi Seng 1 Qian, Linyi 1 Qian, Yiping 1 Runggaldier, Wolfgang J. ...and 42 more Authors all top 5 Cited in 35 Serials 24 Insurance Mathematics & Economics 10 Scandinavian Actuarial Journal 7 Journal of Computational and Applied Mathematics 6 Journal of Industrial and Management Optimization 4 Acta Mathematicae Applicatae Sinica. English Series 4 The ANZIAM Journal 3 Computational Mathematics and Mathematical Physics 3 Automation and Remote Control 3 Applied Stochastic Models in Business and Industry 3 ASTIN Bulletin 2 Computers & Mathematics with Applications 2 Journal of Applied Probability 2 Stochastic Analysis and Applications 2 Communications in Statistics. Theory and Methods 2 Discrete Dynamics in Nature and Society 2 North American Actuarial Journal 1 Applied Mathematics and Optimization 1 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods 1 SIAM Journal on Control and Optimization 1 Optimal Control Applications & Methods 1 Statistics & Probability Letters 1 Annals of Operations Research 1 Journal of Mathematical Sciences (New York) 1 Mathematical Problems in Engineering 1 Quantitative Finance 1 Journal of Systems Science and Complexity 1 Journal of Applied Mathematics and Computing 1 Stochastics 1 Science China. Mathematics 1 Symmetry 1 European Actuarial Journal 1 ISRN Mathematical Analysis 1 Numerical Algebra, Control and Optimization 1 Mathematical Control and Related Fields 1 AIMS Mathematics all top 5 Cited in 12 Fields 96 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 63 Systems theory; control (93-XX) 40 Probability theory and stochastic processes (60-XX) 11 Calculus of variations and optimal control; optimization (49-XX) 9 Statistics (62-XX) 8 Operations research, mathematical programming (90-XX) 3 Integral equations (45-XX) 2 Ordinary differential equations (34-XX) 2 Partial differential equations (35-XX) 2 Numerical analysis (65-XX) 1 Biology and other natural sciences (92-XX) 1 Mathematics education (97-XX) Citations by Year