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1
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
Saved in:
2
Tail nonlinearly transformed risk measure and its application
Chen, Zhiping
;
Li Yang
;
Xu, Daobao
;
Hu, Qianhui
- In:
OR spectrum : quantitative approaches in management
34
(
2012
)
4
,
pp. 817-860
Persistent link: https://www.econbiz.de/10009631526
Saved in:
3
Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios
Li Yang
;
Chen, Zhiping
;
Hu, Qianhui
- In:
China finance review international
4
(
2014
)
4
,
pp. 360-384
Persistent link: https://www.econbiz.de/10011339001
Saved in:
4
Time consistency and time consistent generalized convex multistage risk measures
Li Yang
;
Chen, Zhiping
;
Zhang, Feng
- In:
IMA journal of management mathematics
27
(
2016
)
3
,
pp. 419-437
Persistent link: https://www.econbiz.de/10011593272
Saved in:
5
Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
Chen, Zhiping
;
Liu, Jia
;
Li, Gang
;
Yan, Zhe
- In:
Top : transactions in operations research
24
(
2016
)
3
,
pp. 515-540
Persistent link: https://www.econbiz.de/10011671484
Saved in:
6
Distributionally robust chance constrained geometric optimization
Liu, Jia
;
Lisser, Abdel
;
Chen, Zhiping
- In:
Mathematics of operations research
47
(
2022
)
4
,
pp. 2950-2988
Persistent link: https://www.econbiz.de/10014311394
Saved in:
7
The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia
;
Chen, Zhiping
;
Consigli, Giorgio
- In:
IMA journal of management mathematics
35
(
2024
)
3
,
pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
Saved in:
8
Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity
Wang, Tao
;
Chen, Zhiping
- In:
Insurance : mathematics and economics
118
(
2024
),
pp. 195-222
Persistent link: https://www.econbiz.de/10015067067
Saved in:
9
Estimating the instantaneous volatility and covariance of risky assets
Chesney, Marc
;
Elliott, Robert J.
-
1995
Persistent link: https://www.econbiz.de/10000910595
Saved in:
10
Incomplete diversification and asset pricing
Madan, Dilip B.
;
Milne, Frank
;
Elliott, Robert J.
-
1992
Persistent link: https://www.econbiz.de/10000135929
Saved in:
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