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Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

Zhao, Hui; Rong, Ximin; Zhao, Yonggan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 504-514

Persistent link: https://www.econbiz.de/10010227974

Ruin by dynamic contagion claims

Dassios, Angelos; Zhao, Hongbiao - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10009558269

A risk model with renewal shot-noise Cox process

Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Insurance / Mathematics & economics 65 (2015), pp. 55-65

Persistent link: https://www.econbiz.de/10011422868

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44

Persistent link: https://www.econbiz.de/10011396861

The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

Li, Danping; Rong, Ximin; Zhao, Hui - In: IMA journal of management mathematics 27 (2016) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10011567155

A class of nonzero-sum investment and reinsurance games subject to systematic risks

Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707

Persistent link: https://www.econbiz.de/10011848596

Ruin by Dynamic Contagion Claims

Dassios, Angelos - 2012

In this paper, we consider a risk process with the arrival of claims modelled by a dynamic contagion process, a generalisation of the Cox process and Hawkes process introduced by Dassios and Zhao (2011). We derive results for the infinite horizon model that are generalisations of the...

Persistent link: https://www.econbiz.de/10013107683

A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance

Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks : open access journal 7 (2019) 4/103, pp. 1-18

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

Persistent link: https://www.econbiz.de/10012128012

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

Optimal excess-of-loss reinsurance and investment problem for insurers with loss aversion

Sun, Qingya; Rong, Ximin; Zhao, Hui - In: Theoretical economics letters 9 (2019) 4, pp. 1129-1151

Persistent link: https://www.econbiz.de/10012023209