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Optimality of excess-loss reinsurance under a mean-variance criterion

Li, Danping; Li, Dongchen; Young, Virginia R. - In: Insurance / Mathematics & economics 75 (2017), pp. 82-89

Persistent link: https://www.econbiz.de/10011740728

Optimal investment in hedge funds under loss aversion

Zou, Bin - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-32

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Systemic risk and optimal fee for central clearing counterparty under partial netting

Cui, Zhenyu; Feng, Qi; Hu, Ruimeng; Zou, Bin - In: Operations research letters 46 (2018) 3, pp. 306-311

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Minimum-variance hedging of Bitcoin inverse futures

Deng, Jun; Pan, Huifeng; Zhang, Shuyu; Zou, Bin - In: Applied economics 52 (2020) 58, pp. 6320-6337

Persistent link: https://www.econbiz.de/10012415993

Mean-variance investment and risk control strategies : a time-consistent approach via a forward auxiliary process

Shen, Yang; Zou, Bin - In: Insurance / Mathematics & economics 97 (2021), pp. 68-80

Persistent link: https://www.econbiz.de/10012491963

Hedging pure endowments with mortality derivatives

Wang, Ting; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 238-255

Persistent link: https://www.econbiz.de/10011533915

Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle

Han, Xia; Liang, Zhibin; Young, Virginia R. - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 879-903

Persistent link: https://www.econbiz.de/10012313745

Risk Structure and Optimal Hedging of Bitcoin Inverse Futures

Deng, Jun - 2019

In the Bitcoin futures markets, the dominating contracts are inverse contracts. Unlike standard futures, Bitcoin inverse futures have a non-linear payoff structure, are settled in Bitcoin instead of the fiat currency, and require Bitcoins to be deposited into the margin account during trading.We...

Persistent link: https://www.econbiz.de/10012863305

On minimizing drawdown risks of lifetime investments

Chen, Xinfu; Landriault, David; Li, Bin; Li, Dongchen - In: Insurance / Mathematics & economics 65 (2015), pp. 46-54

Persistent link: https://www.econbiz.de/10011422864