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Associate Professor Jinxia Zhu

Associate Professor Jinxia Zhu

Associate Professor
Business School
School of Risk and Actuarial Studies

Jinxia Zhu is an Associate Professor  in the School of Risk and Actuarial Studies at the University of New South Wales. She holds a Bachelor's and Master's degrees in Mathematics and a PhD degree in Actuarial Science. Her research interests lie in the areas of optimal control in insurance and finance, insurance risk models and risk theory.

Research Interests:

  • Stochastic control in insurance and finance
  • Insurance risk models and ruin theory

 
Phone
+61 2 9385 7385
E-mail
jinxia.zhu@unsw.edu.au
Location
UNSW Business School
  • Journal articles | 2024
    Feng Y; Siu TK; Zhu J, 2024, 'How Might Model Uncertainty and Transaction Costs Impact Retained Earning & Dividend Strategies? An Examination Through a Classical Insurance Risk Model', Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2024.11.002
    Journal articles | 2024
    Feng Y; Siu TK; Zhu J, 2024, 'Optimal payout strategies when Bruno de Finetti meets model uncertainty', Insurance: Mathematics and Economics, 116, pp. 148 - 164, http://dx.doi.org/10.1016/j.insmatheco.2024.02.002
    Journal articles | 2024
    Yao D; Zhu J, 2024, 'Optimal reinsurance under a new design: two layers and multiple reinsurers', Quantitative Finance, 24, pp. 655 - 676, http://dx.doi.org/10.1080/14697688.2024.2349019
    Journal articles | 2021
    Feng Y; Zhu J; Siu TK, 2021, 'Optimal risk exposure and dividend payout policies under model uncertainty', Insurance: Mathematics and Economics, 100, pp. 1 - 29, http://dx.doi.org/10.1016/j.insmatheco.2021.03.029
    Journal articles | 2021
    Zhu J, 2021, 'Optimal impulse control for growth-restricted linear diffusions with regime switching', SIAM Journal on Control and Optimization, 59, pp. 185 - 222, http://dx.doi.org/10.1137/19M1278156
    Journal articles | 2020
    Li X; Liu H; Tang Q; Zhu J, 2020, 'Liquidation risk in insurance under contemporary regulatory frameworks', Insurance: Mathematics and Economics, 93, pp. 36 - 49, http://dx.doi.org/10.1016/j.insmatheco.2020.04.005
    Journal articles | 2019
    Siu TK; Zhu J; Yang H, 2019, 'A martingale approach for asset allocation with derivative security and hidden economic risk', Journal of Applied Probability, 56, pp. 723 - 749, http://dx.doi.org/10.1017/jpr.2019.40
    Journal articles | 2019
    Zhu J; Siu TK; Yang H, 2019, 'Singular dividend optimization for a linear diffusion model with time-inconsistent preferences', European Journal of Operational Research, 285, pp. 66 - 80, http://dx.doi.org/10.1016/j.ejor.2019.04.027
    Journal articles | 2017
    Zhu J, 2017, 'OPTIMAL FINANCING and DIVIDEND DISTRIBUTION with TRANSACTION COSTS in the CASE of RESTRICTED DIVIDEND RATES', ASTIN Bulletin, 47, pp. 239 - 268, http://dx.doi.org/10.1017/asb.2016.29
    Journal articles | 2016
    Zhu J; Yang H, 2016, 'Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy', Insurance: Mathematics and Economics, 70, pp. 259 - 271, http://dx.doi.org/10.1016/j.insmatheco.2016.05.011
    Journal articles | 2016
    Zhu J; Yang H, 2016, 'Optimal financing and dividend distribution in a general diffusion model with regime switching', Advances in Applied Probability, 48, pp. 406 - 422, http://dx.doi.org/10.1017/apr.2016.7
    Journal articles | 2015
    Zhu J; Chen F, 2015, 'Dividend optimization under reserve constraints for the Cramér-Lundberg model compounded by force of interest', Economic Modelling, 46, pp. 142 - 156, http://dx.doi.org/10.1016/j.econmod.2014.11.019
    Journal articles | 2015
    Zhu J, 2015, 'Dividend optimization for general diffusions with restricted dividend payment rates', Scandinavian Actuarial Journal, 2015, pp. 592 - 615, http://dx.doi.org/10.1080/03461238.2013.872174
    Journal articles | 2014
    Zhu J, 2014, 'Corrigendum to Errata for 'Optimal dividend control for a generalized risk model with investment incomes and debit interest' online version (Scandinavian Actuarial Journal, IFirst, (2012))', Scandinavian Actuarial Journal, 2014, pp. 282 - 282, http://dx.doi.org/10.1080/03461238.2012.760254
    Journal articles | 2014
    Zhu J, 2014, 'Dividend optimization for a regime-switching diffusion model with restricted dividend rates', ASTIN Bulletin, 44, pp. 459 - 494, http://dx.doi.org/10.1017/asb.2014.2
    Journal articles | 2014
    Zhu J, 2014, 'Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest', Journal of Computational and Applied Mathematics, 257, pp. 212 - 239, http://dx.doi.org/10.1016/j.cam.2013.08.033
    Journal articles | 2013
    Zhu J; Chen F, 2013, 'Dividend optimization for regime-switching general diffusions', Insurance Mathematics and Economics, 53, pp. 439 - 456, http://dx.doi.org/10.1016/j.insmatheco.2013.07.006
    Journal articles | 2011
    Zhu J; Yang H; Ng K, 2011, 'Ruin probabilities for the perturbed compound Poisson risk process with investment', Communications in Statistics: Theory and Methods, 40, pp. 3917 - 3934, http://dx.doi.org/10.1080/03610926.2010.501942
    Journal articles | 2009
    Zhu J; Yang H, 2009, 'On differentiability of ruin functions under Markov-modulated models', Stochastic Processes and their Applications, 119, pp. 1673 - 1695
    Journal articles | 2008
    Feng C; Zhu J; Li Z, 2008, 'Upper bounds for the ruin probabilities of the entrance-based risk model', Communications in Statistics - Theory and Methods, 37, pp. 2634 - 2652, http://dx.doi.org/10.1080/03610920801942447
    Journal articles | 2008
    Zhu J; Yang H, 2008, 'Estimates for the Absolute Ruin Probability in the Compound Poisson Risk Model with Credit and Debit Interest', Journal of Applied Probability, 45, pp. 818 - 830, http://dx.doi.org/10.1017/s0021900200004721
    Journal articles | 2008
    Zhu J; Yang H, 2008, 'Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest', Journal of Applied Probability, 45, pp. 818 - 830
    Journal articles | 2008
    Zhu J; Yang H, 2008, 'Ruin probabilities of a dual Markov-modulated risk model', Communications in Statistics - Theory and Methods, 37, pp. 3298 - 3307, http://dx.doi.org/10.1080/03610920802117080
    Journal articles | 2008
    Zhu J; Yang H, 2008, 'Ruin theory for a Markov regime-switching model under a threshold dividend strategy', Insurance: Mathematics and Economics, http://dx.doi.org/10.1016/j.insmatheco.2007.03.004
    Journal articles | 2007
    Zhu J, 2007, 'Discussion on: `Optimal dividends in an Ornstein-Uhlenbeck type model with credit and debt interest` by J. Cai, H. U. Gerber and H. Yang', North American Actuarial Journal, 10, pp. 116 - 118, http://dx.doi.org/10.1080/10920277.2006.10596253
    Journal articles | 2005
    Li Z; Zhu J; Feng C, 2005, 'Study of a risk model based on the entrance process', Statistics and Probability Letters, 72, pp. 1 - 10, http://dx.doi.org/10.1016/j.spl.2004.10.028