Similar Search Results

Dynamic safety first expected utility model

Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 271 (2018) 1, pp. 141-154

Persistent link: https://www.econbiz.de/10011882786

Optimal investment for insurers with correlation risk : risk aversion and investment horizon

Chiu, Mei Choi; Wong, Hoi Ying - In: IMA journal of management mathematics 29 (2018) 2, pp. 207-227

Persistent link: https://www.econbiz.de/10011888612

Managing mortality risk with longevity bonds when mortality rates are cointegrated

Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: The journal of risk and insurance : the journal of the … 84 (2017) 3, pp. 987-1023

Persistent link: https://www.econbiz.de/10011749231

Demand for longevity securities under relative performance concerns : stochastic differential games with cointegration

Kwok, Kai Yin; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 71 (2016), pp. 353-366

Persistent link: https://www.econbiz.de/10011630877

Robust dynamic pairs trading with cointegration

Chiu, Mei Choi; Wong, Hoi Ying - In: Operations research letters 46 (2018) 2, pp. 225-232

Persistent link: https://www.econbiz.de/10011824890

Volterra mortality model : actuarial valuation and risk management with long-range dependence

Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 96 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012482737

Pairs trading under delayed cointegration

Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 9, pp. 1627-1648

Persistent link: https://www.econbiz.de/10013367938

Portfolio liquidation with delayed information

Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Economic modelling 126 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014461590

Optimal expansion of business opportunity

Wang, Ling; Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying - In: European journal of operational research : EJOR 309 (2023) 1, pp. 432-445

Persistent link: https://www.econbiz.de/10014290583

Mean–variance asset–liability management with asset correlation risk and insurance liabilities

Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 300-310

Consider an insurer who invests in the financial market where correlations among risky asset returns are randomly changing over time. The insurer who faces the risk of paying stochastic insurance claims needs to manage her asset and liability by taking into account of the correlation risk. This...

Persistent link: https://www.econbiz.de/10011116653