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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

How do capital structure and economic regime affect fair prices of bank's equity and liabilities?

Hainaut, Donatien; Shen, Yang; Zeng, Yan - In: Risk management decisions and wealth management in …, (pp. 519-545). 2018

Persistent link: https://www.econbiz.de/10011871675

Robust Equilibrium Excess-of-Loss Reinsurance and CDS Investment Strategies for a Mean-Variance Insurer with Ambiguity Aversion

Zhao, Hui - 2018

This paper considers the robust equilibrium reinsurance and investment strategies for an ambiguity-averse insurer under a dynamic mean-variance criterion. The insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of a risk-free asset and a credit...

Persistent link: https://www.econbiz.de/10012912416

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

Portfolio choice with illiquid asset for a loss-averse pension fund investor

Chen, Zheng; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 108 (2023), pp. 60-83

Persistent link: https://www.econbiz.de/10013534511

Optimal commissions and subscriptions in mutual aid platforms

Zhao, Yixing; Zeng, Yan - In: ASTIN bulletin : the journal of the International … 53 (2023) 3, pp. 658-683

Persistent link: https://www.econbiz.de/10014342971

Optimal time-consistent investment and reinsurance policies for mean-variance insurers

Zeng, Yan; Li, Zhongfei - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 145-154

Persistent link: https://www.econbiz.de/10009157423

Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

Zeng, Yan; Li, Zhongfei; Lai, Yongzeng - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 498-507

Persistent link: https://www.econbiz.de/10009763600

Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon

Yao, Haixiang; Zeng, Yan; Chen, Shumin - In: Economic modelling 30 (2013), pp. 492-500

Persistent link: https://www.econbiz.de/10009708888

Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 674-684

Persistent link: https://www.econbiz.de/10009683195