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A risk model with renewal shot-noise Cox process

Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Insurance / Mathematics & economics 65 (2015), pp. 55-65

Persistent link: https://www.econbiz.de/10011422868

A generalized contagion process with an application to credit risk

Dassios, Angelos; Zhao, Hongbiao - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011686792

Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

Li, Danping; Rong, Ximin; Zhao, Hui; Yi, Bo - In: Insurance / Mathematics & economics 72 (2017), pp. 6-20

Persistent link: https://www.econbiz.de/10011691490

Moments of renewal shot-noise processes and their applications

Jang, Jiwook; Dassios, Angelos; Zhao, Hongbiao - In: Scandinavian actuarial journal (2018) 8, pp. 727-752

Persistent link: https://www.econbiz.de/10011939737

A Skellam market model for loan prime rate options

Chen, Zhanyu; Zhang, Kai; Zhao, Hongbiao - In: The journal of futures markets 42 (2022) 3, pp. 525-551

Persistent link: https://www.econbiz.de/10012817951

State corporate tax changes and bond pricing : U.S. evidence

Zhao, Hong; Shen, Hao; Wang, Haizhi; Zhu, Yun - In: International review of financial analysis 92 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014492348

A Skellam Market Model for Loan Prime Rate Options

Chen, Zhanyu; Zhang, Kai; Zhao, Hongbiao - 2022

This paper documents vanilla interest-rate options (caps, floors and swaptions) newly introduced in China. The underlying rates are the RMB loan prime rates (LPRs), the foremost interest rates that matter to almost all businesses and households in China. They are digital with a tick size of five...

Persistent link: https://www.econbiz.de/10013289843

Securitization of assets with payment delay risk : a financial innovation in the real estate market

Ma, Chao; Zhang, Hao; Zhao, Hongbiao - In: The journal of futures markets 43 (2023) 4, pp. 480-515

Persistent link: https://www.econbiz.de/10014293126

Optimal reinsurance-investment problem with default risk for an insurer under the constant elasticity of variance model

Yan, Yiqi; Rong, Ximin; Zhao, Hui - In: IMA journal of management mathematics 36 (2025) 1, pp. 135-160

Persistent link: https://www.econbiz.de/10015333133