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Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Yuan, Yu; Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: European journal of operational research : EJOR 311 (2023) 2, pp. 581-595
Persistent link: https://www.econbiz.de/10014336732
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Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 207-215
Persistent link: https://www.econbiz.de/10009242034
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Dividends and reinsurance under a penalty for ruin
Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 437-445
Persistent link: https://www.econbiz.de/10009544390
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Optimal proportional reinsurance with common shock dependence
Yuen, Kam Chuen; Liang, Zhibin; Zhou, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 1-13
Persistent link: https://www.econbiz.de/10011396849
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Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Bi, Junna; Liang, Zhibin; Xu, Fangjun - In: Insurance / Mathematics & economics 70 (2016), pp. 245-258
Persistent link: https://www.econbiz.de/10011597285
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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin - In: Mathematical methods of operations research 84 (2016) 1, pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
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Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
Liang, Xiaoqing; Liang, Zhibin; Young, Virginia R. - In: Insurance / Mathematics & economics 92 (2020), pp. 128-146
Persistent link: https://www.econbiz.de/10012242047
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Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
Han, Xia; Liang, Zhibin; Young, Virginia R. - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 879-903
Persistent link: https://www.econbiz.de/10012313745
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Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen - In: Mathematical methods of operations research 90 (2019) 1, pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
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Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen - In: International journal of financial engineering 6 (2019) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10012028852