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Mobile agents are autonomous software entities that are able to migrate across different execution environments through network. Proxy signcryption is very suitable for protecting mobile agents. However, previous proposed proxy signcryption schemes mainly make use of certificate-based public key system and identity-based public key system. In this paper, we present a secure mobile agent protocol using self-certified proxy signcryption. The use of self-certified public key system has the following advantages: (i) the storage space and the communication overheads can be reduced in that the certificate is unnecessary; (ii) the computational costs can be decreased since the authenticity of public keys and the validity of proxy signcryption are carried out simultaneously in a single step; (iii) there is no key escrow problem since the system authority does not know the users' private keys. Therefore, our protocol is suitable for mobile electronic commerce (m-commerce) application in which mobile devices have limited storage capacities and computational resources.