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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 88 (2019), pp. 159-180

Persistent link: https://www.econbiz.de/10012105537

Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

Shen, Yang; Zeng, Yan - In: Insurance 62 (2015), pp. 118-137

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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

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Forecasting half-hourly electricity prices using a mixed-frequency structural VAR framework

Kapoor, Gaurav; Wichitaksorn, Nuttanan; Li, Mengheng; … - In: Econometrics : open access journal 13 (2025) 1, pp. 1-26

Electricity price forecasting has been a topic of significant interest since the deregulation of electricity markets worldwide. The New Zealand electricity market is run primarily on renewable fuels, and so weather metrics have a significant impact on electricity price and volatility. In this...

Persistent link: https://www.econbiz.de/10015408219