简介

柏立华 女南开大学数学科学学院讲师

研究方向

随机过程理论及其在金融和保险中的应用

文章著作

1. L. H. Bai & M. Hunting & J. Paulsen, 2011. Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints. Finance Stoch. To appear

2. J.Z.Liu L. H. Bai & K.C.Yiu Optimal investment with a value-at-risk con-Straint Journal of Industrial and Management Optimization. To appear

3. Z. B. Liang & L. H. Bai & J. Y. Guo, 2011. Optimal investment and proportional reinsurance with constrained control variables. Optimal Control Appl. Methods 32(5), 587-608.

4. J. N. Bi & J. Y. Guo & L. H. Bai, 2011. optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer. Journal of Systems Science and Cpmplexity 24(2), 291-307.

5. L. H. Bai & J. Paulsen, 2010. Optimal dividend policies with transaction costs for a class of diffusion processes. SIAM J. Control Optim. 48(8) 4987-5008

6. L. H. Bai & J. Y. Guo & H. Y. Zhang, 2010. Optimal excess-of-loss reinsurance and dividend payments when payments are subject to both transaction cost and taxes. Quant. Finance 10(1), 1163 - 1172.

7. L. H. Bai & J. Y. Guo, 2010. Optimal dividend payments in the classical risk model when payments are subject to both transaction cost and taxes. Scandinavian Actuarial Journal 1, 36-55.

8. L. H. Bai & J. Y. Guo, 2010. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection under short- selling prohibition. Science in China Ser A: Mathematics 53(7),1787-1804.

9. H. Y. Zhang & L. H. Bai, 2009. Insurance control for classical risk model with fractional Brownian motion perturbation. Statist. Probab. Lett. 79(4), 473-480.

10.H. Y. Zhang & L. H. Bai, 2008. Dynamic mean-variance optimization under classical risk model with fractional Brownian motion perturbation. Infin. Dimens. Anal. Quantum Probab. Relat. Top.11(4), 589-602.

11.L. H. Bai & J. Y. Guo, 2008. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Insurance: Math. Econ. 42(3), 968-975.

12.L. H. Bai & H. Y. Zhang, 2008. Dynamic mean-variance with constrained risk control for the insurer. Math. Methods Oper. Res. 68(1), 181-205

13.L. H. Bai & J. Y. Guo, 2007. Utility maximization with partial information: the HJB equation approach. Frontiers of Mathematics in China. 2(4), 527-537.