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Robust optimal investment and reinsurance problem for a general insurance company under Heston model

Huang, Ya; Xiangqun, Yang; Zhou, Jieming - In: Mathematical methods of operations research 85 (2017) 2, pp. 305-326

Persistent link: https://www.econbiz.de/10011714438

Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction

Li, Man; Huang, Ying; Huang, Ya; Zhou, Jieming - In: Mathematics and financial economics 18 (2024) 1, pp. 49-94

Persistent link: https://www.econbiz.de/10015045572

Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility

Sun, Zhongyang; Guo, Junyi - In: Mathematical methods of operations research 88 (2018) 1, pp. 59-79

Persistent link: https://www.econbiz.de/10011903385

Estimating the joint survival probabilities of married individuals

Sanders, Lisanne; Melenberg, Bertrand; Sun, Zhongyang - In: Insurance / Mathematics & economics 67 (2016), pp. 88-106

Persistent link: https://www.econbiz.de/10011457166

Term structure extrapolation and asymptotic forward rates

Kort, Jan de; Vellekoop, Michel; Sun, Zhongyang - In: Insurance / Mathematics & economics 67 (2016), pp. 107-119

Persistent link: https://www.econbiz.de/10011457171

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

The Gerber–Shiu discounted penalty function in a delayed renewal risk model with multi-layer dividend strategy

Deng, Chao; Zhou, Jieming; Deng, Yingchun - In: Statistics & Probability Letters 82 (2012) 9, pp. 1648-1656

A class of delayed renewal risk processes with multi-layer dividend strategy is addressed here. Under the assumption that the premium rate is a step function depending on the current surplus level, a piecewise integro-differential equation for the Gerber–Shiu discounted penalty function in the...

Persistent link: https://www.econbiz.de/10010597162