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Stochastic control with inhomogeneous regime switching : application to consumption and investment with unemployment and reemployment

Tao, Cheng; Rong, Ximin; Zhao, Hui - In: Journal of mathematical economics 107 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014366223

Portfolio selection problem with multiple risky assets under the constant elasticity of variance model

Zhao, Hui; Rong, Ximin - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 179-190

Persistent link: https://www.econbiz.de/10009501687

Optimal investment problem with multiple risky assets under the constant elasticity of variance (CEV) model

Zhao, Hui; Rong, Ximin; Ma, Weiqin; Gao, Bo - In: Modern economy 3 (2012) 6, pp. 718-725

Persistent link: https://www.econbiz.de/10009720485

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44

Persistent link: https://www.econbiz.de/10011396861

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

On the constant elasticity of variance model for the utility maximization problem with multiple risky assets

Zhao, Hui; Rong, Ximin - In: IMA journal of management mathematics 28 (2017) 2, pp. 299-320

Persistent link: https://www.econbiz.de/10011723286

The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

Li, Danping; Rong, Ximin; Zhao, Hui - In: IMA journal of management mathematics 27 (2016) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10011567155

Optimal investment problem for life insurance company by considering health-level

Chen, Jiachen; Rong, Ximin; Zhao, Hui - In: Modern economy 10 (2019) 4, pp. 1107-1120

Persistent link: https://www.econbiz.de/10012104774

Continuous-time stochastic mutual fund management game between active and passive funds

Han, Kai; Rong, Ximin; Shen, Yang; Zhao, Hui - In: Quantitative finance 21 (2021) 10, pp. 1647-1667

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Robust Equilibrium Excess-of-Loss Reinsurance and CDS Investment Strategies for a Mean-Variance Insurer with Ambiguity Aversion

Zhao, Hui - 2018

This paper considers the robust equilibrium reinsurance and investment strategies for an ambiguity-averse insurer under a dynamic mean-variance criterion. The insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of a risk-free asset and a credit...

Persistent link: https://www.econbiz.de/10012912416