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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
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Risk-sensitive finite-horizon piecewise deterministic Markov decision processes
Huang, Yonghui; Lian, Zhaotong; Guo, Xianping - In: Operations research letters 48 (2020) 1, pp. 96-103
Persistent link: https://www.econbiz.de/10012169614
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Risk-sensitive infinite-horizon discounted piecewise deterministic Markov decision processes
Huang, Yonghui; Lian, Zhaotong; Guo, Xianping - In: Operational research : an international journal 22 (2022) 5, pp. 5791-5816
Persistent link: https://www.econbiz.de/10013445644
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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
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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
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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
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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
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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
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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
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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