Actuarial Science, Mathematical Finance, Risk Theory, Optimizations in Mathematic Finance, Stochastic Control in Insurance and Finance, Regime-switching Models in Finance and Insurance.
成就
發表文章及著作：
1. X. Zhang, R.J. Elliott and T.K. Siu (2012) A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and its Application to Finance. Accepted by SIAM Journal on Control and Optimization.
2. X. Zhang, R.J. Elliott and T.K. Siu (2012) A Bayesian Approach for Optimal Reinsurance and Investment in the Diffusion Model. Accepted by Journal of Engineering Mathematics.
3. X. Zhang, R.J. Elliott, T.K. Siu and J.Y. Guo (2012) Markovian regime-switching market completion using additional Markov jump assets. Accepted by IMA Journal of Management Mathematics.
4. X. Zhang and T.K. Siu (2012) On optimal proportional reinsurance and investment in a Markovian regimeswitching economy. Acta Mathematica Sinica-English Series, 28(1), pp. 67-82.
5. X. Zhang, T.K. Siu, and Q. Meng (2010) Portfolio selection in the enlarged Markovian regime-switching market. SIAM Journal on Control and Optimization, 48(5), pp. 3368-3388.
6. H. Meng and X. Zhang (2010) Optimal risk control for the excess of loss reinsurance policies. ASTIN Bulletin, 40(1), pp. 179-197.
7. T. Lv, J. Guo, and X. Zhang (2010) Ruin probabilities for a risk model with two classes of claims. Acta Mathematica Sinica-English Series, 26(9), pp.1749-1760
8. X. Zhang and T.K. Siu (2009) Optimal investment and reinsurance of an insurer with model uncertainty. Insurance Mathematics and Economics, 45(1), pp.81-88.
9. X. Zhang (2008) On the ruin problem in a markov-modulated risk model. Methodology and Computing in Applied Probability, 10(2), pp.225-238.
10. Q. Meng, X. Zhang, and J. Guo (2008) On a risk model with dependence between claim sizes and claim intervals. Statistics and Probability Letters, 78(13), pp.1727-1734.
11. M. Song, R. Wu, and X. Zhang (2008) Total duration of negative surplus for the dual model. Applied Stochastic Models in Business and Industry, 24(6), pp.591-600.
12. X. Zhang, M. Zhou and J. Y. Guo (2007) Optimal combinational quota-share and excess-of-loss reinsurance policies in a dynamic setting. Applied Stochastic Models in Business and Industry, 23(1): 63-71.
