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Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion

Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, WenJun - In: Insurance / Mathematics & economics 88 (2019), pp. 159-180

Persistent link: https://www.econbiz.de/10012105537

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...

Persistent link: https://www.econbiz.de/10012293125

Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon

Zeng, Yan; Wu, Huiling; Lai, Yongzeng - In: Economic modelling 33 (2013), pp. 462-470

Persistent link: https://www.econbiz.de/10010192881

Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon

Yao, Haixiang; Zeng, Yan; Chen, Shumin - In: Economic modelling 30 (2013), pp. 492-500

Persistent link: https://www.econbiz.de/10009708888

Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk

Wu, Huiling; Zeng, Yan - In: Insurance / Mathematics & economics 64 (2015), pp. 396-408

Persistent link: https://www.econbiz.de/10011398120

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103

Persistent link: https://www.econbiz.de/10011973926

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

Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences

Chen, Shumin; Wang, Xi; Deng, Yinglu; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 27-37

Persistent link: https://www.econbiz.de/10011457145

Real estate prices and systemic banking crises

Deng, Yang; Zeng, Yan; Li, Zhirui - In: Economic modelling 80 (2019), pp. 111-120

Persistent link: https://www.econbiz.de/10012199198

Lifetime asset allocation with idiosyncratic and systematic mortality risks

Shen, Yang; Sherris, Michael - In: Scandinavian actuarial journal (2018) 4, pp. 294-327

Persistent link: https://www.econbiz.de/10011881099