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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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Stochastic differential games between two insurers with generalized mean-variance premium principle
Chen, Shumin; Yang, Hailiang; Zeng, Yan - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 413-434
Persistent link: https://www.econbiz.de/10011875615
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Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Li, Danping; Zeng, Yan; Yang, Hailiang - In: Scandinavian actuarial journal (2018) 2, pp. 145-171
Persistent link: https://www.econbiz.de/10011881073
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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan; Li, Danping; Gu, Ailing - In: Insurance / Mathematics & economics 66 (2016), pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
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Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 191-203
Persistent link: https://www.econbiz.de/10009558139
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Optimal time-consistent investment and reinsurance policies for mean-variance insurers
Zeng, Yan; Li, Zhongfei - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 145-154
Persistent link: https://www.econbiz.de/10009157423
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Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 498-507
Persistent link: https://www.econbiz.de/10009763600
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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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 control of excess-of-loss reinsurance and investment for insurers under a CEV model
Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 674-684
Persistent link: https://www.econbiz.de/10009683195