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Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Yuan, Yu; Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: European journal of operational research : EJOR 311 (2023) 2, pp. 581-595
Persistent link: https://www.econbiz.de/10014336732
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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin - In: Mathematical methods of operations research 84 (2016) 1, pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
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Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen - In: Scandinavian actuarial journal 2020 (2020) 3, pp. 218-244
Persistent link: https://www.econbiz.de/10012195046
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Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen - In: Mathematical methods of operations research 90 (2019) 1, pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
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Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen - In: International journal of financial engineering 6 (2019) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10012028852
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Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: Scandinavian actuarial journal (2018) 10, pp. 863-889
Persistent link: https://www.econbiz.de/10011939763
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Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
Chen, Mi; Yuen, Kam Chuen; Wang, Wenyuan - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 198-217
Persistent link: https://www.econbiz.de/10012500260
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Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors
Yang Yang; Fan, Yahui; Yuen, Kam Chuen - In: Scandinavian actuarial journal 2024 (2024) 4, pp. 361-382
Persistent link: https://www.econbiz.de/10014520551
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Downside risk optimization with random targets and portfolio amplitude
Landsman, Zinoviy; Makov, Udi; Yao, Jing; Zhou, Ming - In: The European journal of finance 28 (2022) 16, pp. 1642-1663
Persistent link: https://www.econbiz.de/10013532255
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Optimal reinsurance policies with two reinsurers in continuous time
Meng, Hui; Zhou, Ming; Siu, Tak Kuen - In: Economic modelling 59 (2016), pp. 182-195
Persistent link: https://www.econbiz.de/10011647797