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Time-consistent investment and...
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ECONIS (ZBW)
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1
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
Saved in:
2
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
Saved in:
3
Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng
;
Li, Zhongfei
;
Zeng, Yan
- In:
IMA journal of management mathematics
26
(
2015
)
1
,
pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
Saved in:
4
Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 60-83
Persistent link: https://www.econbiz.de/10013534511
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Optimal dividend strategies with time-inconsistent preferences
Chen, Shumin
;
Li, Zhongfei
;
Zeng, Yan
- In:
Journal of economic dynamics & control
46
(
2014
),
pp. 150-172
Persistent link: https://www.econbiz.de/10010474399
Saved in:
9
Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
Chen, Zheng
;
Li, Zhongfei
;
Zeng, Yan
;
Sun, Jingyun
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 137-150
Persistent link: https://www.econbiz.de/10011740793
Saved in:
10
Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
Sun, Jingyun
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
67
(
2016
),
pp. 158-172
Persistent link: https://www.econbiz.de/10011457232
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