2024--至今
1. lv chen, danping li*, yumin wang, xiaobai zhu (2024). optimal vix-linked structure for the target benefit pension plan. astin bulletin, 54, 75-93.
2. xia han, david landriault, danping li* (2024). optimal reinsurance contract in a stackelberg game framework: a view of social planner. scandinavian actuarial journal, 2024(2), 124-148.
3. danping li, lv chen*, linyi qian, wei wang (2024). equilibrium reinsurance strategy and mean residual life function. acta mathematicae applicatae sinica, 40(3), 758-777.
4. zhou yang, danping li*, yan zeng, guanting liu (2024). optimal investment strategy for α-robust utility maximization problem. mathematics of operations research, publish online.
5. xia han, danping li*, yu yuan (2024). robust reinsurance contract and investment with delay under mean-variance framework. communications in statistics-theory and methods, publish online.
2019--2023年
1. lv chen, danping li*, yumin wang, xiaobai zhu (2023). the optimal cyclical design for a target benefit pension plan. journal of pension economics and finance, 22(3), 284-303.
2. lin xie, lv chen, linyi qian, danping li*, zhixin yang (2023). optimal investment and consumption strategies for pooled annuity with partial information. insurance: mathematics and economics, 108, 129-155.
3. junna bi, danping li* (2023). behavioral mean-risk portfolio selection in continuous time via quantile. communications in statistics-theory and methods, 52(14), 4904-4933.
4. danping li, virginia r. young* (2022). stackelberg differential game for reinsurance: mean-variance framework and random horizon. insurance: mathematics and economics, 102, 42-55.
5. junna bi, danping li*, nan zhang (2022). equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles. rairo operations research, 56, 1-22.
6. danping li*, xiaotao liu, hailong liu (2022). optimal investment strategy for a family with a random household expenditure under the cev model. communications in statistics-theory and methods, 51(17), 5993-6007.
7. danping li, ximin rong, hui zhao, yajie wang* (2022). equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer. communications in statistics-theory and methods, 51(21), 7496-7527.
8. haixiang yao, danping li, huiling wu* (2022). dynamic trading with uncertain exit time and transaction costs in a general markov market. international review of financial analysis, 84, 102371
9. 李丹萍, 夏佳怡, 钱林义*, 罗勉 (2022). 跨代连结型长期护理保险最优决策研究. 保险研究, (5), 48-63.
10. 李丹萍, 林玉容, 曾燕* (2021). 随机利率与随机波动率模型下保险公司的均衡再保险-投资策略. 计量经济学报, 1(4), 904-920.
11. lv chen, david landriault, bin li, danping li* (2021). optimal dynamic risk sharing under the time-consistent mean-variance criterion. mathematical finance, 31(2), 649-682.
12. danping li, virginia r. young* (2021). bowley solution of a mean-variance game in insurance. insurance: mathematics and economics, 98, 35-43.
13. danping li*, bin li, yang shen (2021). a stochastic differential game for insurance market with competitive premium. journal of computational and applied mathematics, 389, 113349.
14. danping li, junna bi*, mengcong hu (2021). alpha-robust mean-variance investment strategy for dc pension plan with uncertainty about jump-diffusion risk. rairo operations research, 55, s2983-s2997.
15. yajie wang, ximin rong, hui zhao, danping li* (2021). optimal investment problem between two insurers with value-added service. communications in statistics-theory and methods, 50(8), 1781-1806.
16. danping li, yongzeng lai, lin li* (2020). optimal asset allocation with heterogeneous discounting and stochasticincome under cev model. journal of the operational research society, 71(12), 2013-2026.
17. ling zhang, danping li*, yongzeng lai (2020). equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochasticvolatility, journal of computational and applied mathematics, 368, 112536.
18. danping li, virginia r. young* (2019). optimal reinsurance to minimize the discounted probability of ruin under ambiguity. insurance: mathematics and economics, 87, 143-152.
2015-2018年
1. danping li, yan zeng*, yang shen (2018). dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility. insurance: mathematics and economics, 78, 72-86.
2. danping li, yan zeng*, hailiang yang (2018). robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. scandinavian actuarial journal, 2018(2), 145-171.
3. yan zeng, danping li* zheng chen, zhou yang (2018). ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. journal of economic dynamics and control, 88, 70-103.
4. david landriault, bin li, danping li, virginia r. young* (2018). equilibrium strategies for the mean-variance investment problem over a random horizon. siam journal of financial mathematics, 9(3), 1046-1073.
5. danping li, dongchen li, virginia r. young* (2017). optimality of excess-loss reinsurance under a mean-variance criterion. insurance: mathematics and economics, 75, 82-89.
6. danping li, ximin rong, hui zhao, bo yi* (2017). equilibrium investment strategy for dc pension plan with default risk and return of premiums clauses under cev model. insurance: mathematics and economics, 72, 6-20.
7. danping li, ximin rong, hui zhao* (2017). equilibrium excess-of-loss reinsurance -investment strategy for a mean-variance insurer under stochastic volatility model. communications in statistics-theory and methods, 46(19), 9459-9475.
8. bin li, danping li*, dewen xiong (2016). alpha-robust mean -variance reinsurance-investment strategy. journal of economic dynamics and control, 70, 101-123.
9. david landriault, bin li, danping li*, dongchen li (2016). a pair of optimal reinsurance-investment strategies in the two-sided exit framework. insurance: mathematics and economics, 71, 284-294.
10.yan zeng, danping li*, ailing gu (2016). robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. insurance: mathematics and economics, 66, 138-152.
11.danping li, ximin rong, hui zhao* (2016). the optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model.ima journal of management mathematics, 27(2), 255-280.
12.danping li, ximin rong, hui zhao* (2016). optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the heston model. computational and applied mathematics, 35(2), 533-557.
13.danping li, ximin rong, hui zhao* (2016). time-consistent investment strategy for dc pension plan with stochastic salary under cev model. journal of systems science and complexity, 29(2), 428-454.
14.danping li, ximin rong, hui zhao* (2015). time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk. insurance: mathematics and economics, 64, 28-44.
15.danping li, ximin rong, hui zhao* (2015). time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the cev model. journal of computational and applied mathematics, 283, 142-162.
16.danping li, ximin rong, hui zhao* (2015). stochastic differential game formulation on the reinsurance and investment problem. international journal of control, 88, 1861-1877.
17.danping li*, ximin rong, hui zhao (2015). optimal investment problem for an insurer and a reinsurer. journal of systems science and complexity, 28(6), 1326-1343.