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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

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

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

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

Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model

A, Chunxiang; Li, Zhongfei - In: Insurance / Mathematics & economics 61 (2015), pp. 181-196

Persistent link: https://www.econbiz.de/10010515891

Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility

Wang, Pei; Li, Zhongfei - In: Insurance / Mathematics & economics 80 (2018), pp. 67-83

Persistent link: https://www.econbiz.de/10011872914

Does Geopolitical Risk Matter in Crude Oil and Stock Markets? Evidence from Disaggregated Data

Li, Sufang; Tu, Dalun; Zeng, Yan; Yuan, Di - 2022

This paper investigates the nonlinear Granger causality and spillover effects among geopolitical risk, crude oil and Chinese disaggregated sectoral stock markets by using a multivariate nonlinear Granger causality test and connectedness network analysis. The nonlinear Granger causality and...

Persistent link: https://www.econbiz.de/10013307787

Does geopolitical risk matter in crude oil and stock markets? : evidence from disaggregated data

Li, Sufang; Tu, Dalun; Zeng, Yan; Gong, Chenggang; Yuan, Di - In: Energy economics 113 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013540420