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Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
Lv, Chen; Shen, Yang - In: Insurance / Mathematics & economics 88 (2019), pp. 120-137
Persistent link: https://www.econbiz.de/10012105527
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Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, WenJun - In: Insurance / Mathematics & economics 88 (2019), pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
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On a new paradigm of optimal reinsurance : a stochastic stackelberg differential game between an insurer and a reinsurer
Lv, Chen; Shen, Yang - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 905-960
Persistent link: https://www.econbiz.de/10011875926
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Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - In: Scandinavian actuarial journal 2023 (2023) 5, pp. 413-449
Persistent link: https://www.econbiz.de/10014336459
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Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375
Persistent link: https://www.econbiz.de/10012262741
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A continuous-time theory of reinsurance chains
Lv, Chen; Shen, Yang; Su, Jianxi - In: Insurance / Mathematics & economics 95 (2020), pp. 129-146
Persistent link: https://www.econbiz.de/10012419263
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Mean-variance investment and risk control strategies : a time-consistent approach via a forward auxiliary process
Shen, Yang; Zou, Bin - In: Insurance / Mathematics & economics 97 (2021), pp. 68-80
Persistent link: https://www.econbiz.de/10012491963
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Constrained investment-reinsurance optimization with regime switching under variance premium principle
Lv, Chen; Qian, Linyi; Shen, Yang; Wang, Wei - In: Insurance / Mathematics & economics 71 (2016), pp. 253-267
Persistent link: https://www.econbiz.de/10011630835
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Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Shen, Yang; Sherris, Michael; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 69 (2016), pp. 127-137
Persistent link: https://www.econbiz.de/10011530941
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Lifetime asset allocation with idiosyncratic and systematic mortality risks
Shen, Yang; Sherris, Michael - In: Scandinavian actuarial journal (2018) 4, pp. 294-327
Persistent link: https://www.econbiz.de/10011881099