J.Wei, Y. Shen and Q. Zhao. Portfolio Selection with Regime-Switching and Time-Inconsistent Preferences.Journal of Computational and Applied Mathematics, 365, 112361, 2020.
J. Wei, D. Li and Y. Zeng. Robust Optimal Consumption-investment Strategy with Non-exponential Discounting.Journal of Industrial and Management Optimization, 16(1):207-230, 2020.
Q. Zhao, Y. Shen and J.Wei. Time-Consistent Mean-Variance Investment and Contribution Decisions in a Defined Benefit Pension Plan. Journal of Industrial and Management Optimization, accepted, 2019.
T. Wang, J. Zhuo and J.Wei. Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions. SIAM Journal on Control and Optimization, 57(5): 3249-3271, 2019.
J.Wei, Z. Jin and H. Yang. Optimal Dividend Policy with Liability Constraint under a HiddenMarkov Regime-Switching Model. Journal of Industrial and Management Optimization, 15(4):1965-1993, 2019.
H. Wang, R. Wang and J. Wei. Time-Consistent Investment-Proportional Reinsurance Strategy with Random Coefficients for Mean-Variance Insurers. Insurance: Mathematics and Economics, 85:104-114, 2019.
T. Wang and J. Wei. Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model via Mean-Field Formulation. Journal of Computational and Applied Mathematics, 350:442-455, 2019.
H.Wang, R.Wang, J.Wei and S. Xu. Optimal Investment-Consumption-Insurance Strategy in a Continuous-Time Self-Exciting Threshold Model. Communications in Statistics-Theory and Methods, 48(14):3530-3548,2019.
Q. Zhao, Z. Jin, J. Wei. Optimal Debt Ratio and Dividend Strategies with Regime-Switching. Stochastic Models , 34(4):435-463, 2018.
Y. Shen, J. Wei and Q. Zhao. Mean-variance asset-liability management problem under non-Markovian regime-switching models. Applied Mathematics and Optimization, DOI 10.1007/s00245-018-9523-8, 2018.
Q. Zhao, Z. Jin, J.Wei. Optimal Investment and Dividend Payment Strategies with Debt Management and Reinsurance. Journal of Industrial and Management Optimization, 14(4):1323-1348, 2018.
J. Wei. Backward stochastic Volterra integral equations on Markov chains. Stochastics: An International Journal of Probability and Stochastic Processes, 90(4):605-639, 2018.
J. Wei. Time-Inconsistent Optimal Control Problems with Regime-Switching. Mathematical Control and Related Fields, 7(4):585-622, 2017.
J. Wei and T. Wang. Time-Consistent Mean-Variance Asset-Liability Management with Random Coefficients.Insurance: Mathematics and Economics, 77:84-96, 2017.
J. Zhang, S. Purcal and J.Wei. Optimal Time to Enter Retirement Village. Risks, 5(1), 20, doi:10.3390/risks5010020,2017.
Q. Zhao, R.Wang and J.Wei. Exponential Utility Maximization for an Insurer with Time-Inconsistent Preferences.Insurance: Mathematics and Economics, 70:89-104, 2016.
Q. Zhao, R. Wang and J. Wei. Time-Inconsistent Consumption-Investment Problem for a Member in a Defined Contribution Pension Plan. Journal of Industrial and Management Optimization, 12:1557-1585,2016.
Q. Zhao, R.Wang and J.Wei. Minimization of Risks inDefined Benefit Pension Plan with Time-Inconsistent Preferences. Applied Stochastic Models in Business and Industry, 32:243-258, 2016.
Y. Shen and J.Wei. Optimal Investment-Consumption-Insurance with Random Parameters. Scandinavian Actuarial Journal, 2016(1):37-62, 2016.
Q. Zhao, J.Wei and R.Wang. On Dividend Strategies with Non-Exponential Discounting. Insurance: Mathematics and Economics, 58:1-13, 2014.
Q. Zhao, Y. Shen and J. Wei. Consumption-Investment Strategies with Non-Exponential Discounting and Logarithmic Utility. European Journal of Operational Research, 238:824-835, 2014.
J. Fu, J.Wei and H. Yang. Portfolio Optimization in a Regime-Switching Market with Derivatives. European Journal of Operational Research, 233:184-192, 2014.
J. Wei, K. C. Wong, S. C. P. Yam and S. P. Yung. Markowitz’s Mean-Variance Asset-Liability Management with Regime Switching: A Time-Consistent Approach. Insurance: Mathematics and Economics, 53:281-291, 2013.
J. Wei, R. Wang and H. Yang. On the Optimal Dividend Strategy in a Regime-Switching Diffusion Model.Advances in Applied Probability, 44(3):886-906, 2012.
J.Wei, R.Wang and H. Yang. Optimal Surrender Strategies for Equity-Indexed Annuity Investors with Partial Information. Statistics and Probability Letters, 82:1251-1258, 2012.
J.Wei and C. Qiu. The Risk Model with Interest, Liquid Reserves and a Constant Dividend Barrier. Chinese Journal of Applied Probability and Statistics, 28(5): 535-550, 2012.
J.Wei, H. Yang, and R.Wang. Optimal Threshold Dividend Strategies under the Compound Poisson Model with Regime Switching. In N. Privault A. Kohatsu-Higa and S.J. Sheu., editors, Stochastic Analysis withFinancial Applications, pages 413-429. Birkhäuser, 2011.
M. Xiang and J. Wei. Optimal Dividend Strategy under the Risk Model with Stochastic Premium. Chinese Journal of Applied Probability and Statistics, 27(1): 39-47, 2011.
J. Wei, H. Yang and R. Wang. Optimal Reinsurance and Dividend Strategies under the Markov-Modulated Insurance Risk Model. Stochastic Analysis and Applications, 28(6): 1078-1105, 2010.
J. Wei, H. Yang and R.Wang. Classical and Impulse Control for the Optimization of Dividend and Proportional Reinsurance Policies with Regime Switching. Journal of Optimization Theory and Applications, 147:358-377, 2010.
J.Wei, H. Yang and R.Wang. On the Markov-Modulated Insurance RiskModel with Tax. Blätter der DGVFM,31: 65-78, 2010.
J.Wei, R.Wang and D. Yao. The Asymptotic Estimate of Ruin Probability under a Class of Risk Model in the Presence of Heavy Tails. Communications in Statistics - Theory and Methods, 37(15): 2331-2341, 2008.