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~isPartOf:"Scandinavian actuarial journal"
~subject:"Stochastischer Prozess"
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Stochastischer Prozess
Portfolio selection
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Option pricing theory
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affine diffusion
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backward stochastic differential equation
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efficient strategy and efficient frontier
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excess-of-loss reinsurance
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Yuen, Kam Chuen
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Han, Xia
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Liang, Zhibin
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Sun, Zhongyang
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Zhang, Xin
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Scandinavian actuarial journal
Mathematical methods of operations research
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European journal of operational research : EJOR
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International journal of financial engineering
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Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
Sun, Zhongyang
;
Zhang, Xin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
2020
(
2020
)
3
,
pp. 218-244
Persistent link: https://www.econbiz.de/10012195046
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2
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Han, Xia
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Scandinavian actuarial journal
(
2018
)
10
,
pp. 863-889
Persistent link: https://www.econbiz.de/10011939763
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