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MODELING THE RECOVERY RATE IN...
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1
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo
;
Li, Zhongfei
;
Viens, Frederi G.
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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2
Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 1-12
Persistent link: https://www.econbiz.de/10010402753
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3
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan
;
Li, Danping
;
Gu, Ailing
- In:
Insurance / Mathematics & economics
66
(
2016
),
pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
Saved in:
4
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 118-137
Persistent link: https://www.econbiz.de/10011312080
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5
Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng
;
Li, Zhongfei
;
Zeng, Yan
- In:
IMA journal of management mathematics
26
(
2015
)
1
,
pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
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6
Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
Wu, Huiling
;
Weng, Chengguo
;
Zeng, Yan
- In:
OR spectrum : quantitative approaches in management
40
(
2018
)
2
,
pp. 541-582
Persistent link: https://www.econbiz.de/10011868232
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7
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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8
Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
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9
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan
;
Muravey, Dmitry
;
Shen, Yang
;
Zeng, Yan
-
2023
Persistent link: https://www.econbiz.de/10014336459
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10
Martingale problem under nonlinear expectations
Guo, Xin
;
Pan, Chen
;
Peng, Shige
- In:
Mathematics and financial economics
12
(
2018
)
2
,
pp. 135-164
Persistent link: https://www.econbiz.de/10011963738
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