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Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Yuan, Yu
;
Han, Xia
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
European journal of operational research : EJOR
311
(
2023
)
2
,
pp. 581-595
Persistent link: https://www.econbiz.de/10014336732
Saved in:
2
Correlated default models driven by a multivariate regime-switching shot noise process
Dong, Yinghui
;
Wang, Guojing
;
Yuen, Kam Chuen
- In:
IMA journal of management mathematics
29
(
2018
)
4
,
pp. 351-375
Persistent link: https://www.econbiz.de/10011974883
Saved in:
3
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin
;
Bi, Junna
;
Yuen, Kam Chuen
;
Zhang, Caibin
- In:
Mathematical methods of operations research
84
(
2016
)
1
,
pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
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4
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Sun, Zhongyang
;
Zhang, Xin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2020
(
2020
)
3
,
pp. 218-244
Persistent link: https://www.econbiz.de/10012195046
Saved in:
5
Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Mathematical methods of operations research
90
(
2019
)
1
,
pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
Saved in:
6
Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Zhang, Caibin
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
International journal of financial engineering
6
(
2019
)
1
,
pp. 1-45
Persistent link: https://www.econbiz.de/10012028852
Saved in:
7
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Han, Xia
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
(
2018
)
10
,
pp. 863-889
Persistent link: https://www.econbiz.de/10011939763
Saved in:
8
Precise large deviations of aggregate claims with arbitrary dependence between claim sizes and waiting times
Chen, Yiqing
;
White, Toby
;
Yuen, Kam Chuen
- In:
Insurance / Mathematics & economics
97
(
2021
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012491954
Saved in:
9
Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Chen, Mi
;
Yuen, Kam Chuen
;
Wang, Wenyuan
- In:
Scandinavian actuarial journal
2021
(
2021
)
3
,
pp. 198-217
Persistent link: https://www.econbiz.de/10012500260
Saved in:
10
Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Yang Yang
;
Fan, Yahui
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2024
(
2024
)
4
,
pp. 361-382
Persistent link: https://www.econbiz.de/10014520551
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