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Pricing dynamic fund protection under hidden Markov models

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: IMA journal of management mathematics 29 (2018) 1, pp. 99-117

Persistent link: https://www.econbiz.de/10011858973

Life-cycle planning with CEV model and time-inconsistent preferences

Wang, Hao; Hu, Shujie; Siu, Tak Kuen; Wang, Rongming; … - In: International review of economics & finance : IREF 96 (2024) 1, pp. 1-21

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Portfolio selection with parameter uncertainty under maxmin mean-variance criterion

Yu, Xingying; Shen, Yang; Li, Xiang; Fan, Kun - In: Operations research letters 48 (2020) 6, pp. 720-724

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A risk-based approach for asset allocation with a defaultable share

Shen, Yang; Siu, Tak Kuen - In: Risks : open access journal 6 (2018) 1, pp. 1-27

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Persistent link: https://www.econbiz.de/10011811551

Valuation of equity-indexed annuity under stochastic mortality and interest rate

Qian, Linyi; Wang, Wei; Wang, Rongming; Tang, Yincai - In: Insurance / Mathematics & economics 47 (2010) 2, pp. 123-129

Persistent link: https://www.econbiz.de/10008654268

Optimal risk and dividend control problem with fixed costs and salvage value : variance premium principle

Yao, Dingjun; Yang, Hailiang; Wang, Rongming - In: Economic modelling 37 (2014), pp. 53-64

Persistent link: https://www.econbiz.de/10010416845

Optimal dividend and capital injection problem in the dual model with proportional and fixed transaction costs

Yao, Dingjun; Yang, Hailiang; Wang, Rongming - In: European journal of operational research : EJOR 211 (2011) 3, pp. 568-576

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Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers

Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114

Persistent link: https://www.econbiz.de/10011990618

Exponential utility maximization for an insurer with time-inconsistent preferences

Zhao, Qian; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 70 (2016), pp. 89-104

Persistent link: https://www.econbiz.de/10011597189

Optimal dividend and reinsurance strategies with financing and liquidation value

Yao, Dingjun; Yang, Hailiang; Wang, Rongming - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 365-399

Persistent link: https://www.econbiz.de/10011576767