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Optimal investment, consumption and proportional reinsurance under model uncertainty
Peng, Xingchun; Chen, Fenge; Hu, Yijun - In: Insurance / Mathematics & economics 59 (2014), pp. 222-234
Persistent link: https://www.econbiz.de/10010469132
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Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
Peng, Xingchun; Wei, Linxiao; Hu, Yijun - In: Insurance / Mathematics & economics 59 (2014), pp. 78-86
Persistent link: https://www.econbiz.de/10010469175
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Optimal investment and risk control for an insurer under inside information
Peng, Xingchun; Wang, Wenyuan - In: Insurance / Mathematics & economics 69 (2016), pp. 104-116
Persistent link: https://www.econbiz.de/10011530931
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Optimal investment and risk control for an isurer with partial information in an anticipating environment
Peng, Xingchun; Chen, Fenge; Wang, Wenyuan - In: Scandinavian actuarial journal (2018) 10, pp. 933-952
Persistent link: https://www.econbiz.de/10011939800
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Optimal loss-carry-forward taxation for the Lévy risk model
Wang, Wenyuan; Hu, Yijun - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 121-130
Persistent link: https://www.econbiz.de/10009501693
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Set-valued dynamic risk measures for bounded discrete-time processes
Chen, Yanhong; Hu, Yijun - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-42
Persistent link: https://www.econbiz.de/10012270994
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Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
Chen, Yanhong; Hu, Yijun - In: Mathematics and financial economics 12 (2018) 3, pp. 305-333
Persistent link: https://www.econbiz.de/10011963856