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Insurance claims modulated by a hidden Brownian marked point process

Elliott, Robert J.; Chen, Zhiping; Duan, Qihong - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 163-172

Persistent link: https://www.econbiz.de/10009517585

Relationship between the benchmark interest rate and a macroeconomic indicator

Duan, Qihong; Wei, Ying; Chen, Zhiping - In: Economic modelling 38 (2014), pp. 220-226

Persistent link: https://www.econbiz.de/10010419122

New models of trader beliefs and their application for explaining financial bubbles

Chen, Zhiping; Duan, Qihong - In: Economic modelling 28 (2011) 5, pp. 2215-2227

Persistent link: https://www.econbiz.de/10009273484

Automation of the individualized investing strategy for an investment advisor established by a semi-Markov regime-switching model

Liu, Junrong; Chen, Zhiping; Duan, Qihong - In: Computational economics 63 (2024) 6, pp. 2351-2370

Persistent link: https://www.econbiz.de/10014636746

Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control

Chen, Zhiping - In: OR spectrum : quantitative approaches in management 27 (2005) 4, pp. 603-632

Persistent link: https://www.econbiz.de/10003025394

The effects of sudden celebrity deaths on the US stock market

Chen, Zhiping - 2011

Persistent link: https://www.econbiz.de/10009302019

Stochastic processes, finance and control : a Festschrift in honor of Robert J. Elliott

Cohen, Samuel N. (ed.); Madan, Dilip B. (ed.); … - 2012

This title consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering--

Persistent link: https://www.econbiz.de/10012658655

Optimal consumption and investment problems under GARCH with transaction costs

Chen, Zhiping; Yuen, K. C. - In: Mathematical methods of operations research 61 (2005) 2, pp. 219-237

Persistent link: https://www.econbiz.de/10002858605

Optimal Private Health Insurance Contract Towards the Joint Interests of a Policyholder and an Insurer

Yang, Peng; Chen, Zhiping - 2022

This paper investigates the optimal private health insurance contract design problem considering the joint interests of a policyholder and an insurer. They jointly determine the premium of a private health insurance. To better reflect the reality, the illness expenditure is governed by an...

Persistent link: https://www.econbiz.de/10014078276

Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework

Yang, Peng; Chen, Zhiping - In: IMA journal of management mathematics 34 (2023) 4, pp. 661-694

Persistent link: https://www.econbiz.de/10014389017