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Target Benefit Pension with Longevity Risk and Stochastic Interest Rate

Tao, Cheng; Rong, Ximin; Zhao, Hui - 2023

This paper introduces a target benefit pension (TBP) model that incorporates longevity risk and stochastic interest rate. Previous models have not considered the dynamic nature of remaining lifetime, and this paper proposes an Ornstein-Uhlenbeck (OU) process to simulate average remaining...

Persistent link: https://www.econbiz.de/10014358649

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

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

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

Target benefit pension plan with longevity risk and intergenerational equity

Rong, Ximin; Tao, Cheng; Zhao, Hui - In: ASTIN bulletin : the journal of the International … 53 (2023) 1, pp. 84-103

Persistent link: https://www.econbiz.de/10014247645