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~person:"Guo, Junyi"
~person:"Lim, Thomas"
~person:"Sun, Zhongyang"
~subject:"Option pricing theory"
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Option pricing theory
backward stochastic differential equation
6
Optionspreistheorie
4
Stochastic process
4
Stochastischer Prozess
4
Variable annuities
4
indifference pricing
4
utility maximization
4
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3
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Lebensversicherung
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Life insurance
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Portfolio-Management
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Private Altersvorsorge
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insurance
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stochastic control
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Backward stochastic differential equation
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Control theory
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affine diffusion
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Guo, Junyi
Lim, Thomas
Sun, Zhongyang
Hess, Markus
7
Giribone, Pier Giuseppe
4
Bottasso, Anna
3
Fusaro, Michelangelo
3
Kohlmann, Michael
3
Tissone, Alessio
3
Chevalier, Etienne
2
Kurbanmuradov, O.
2
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1
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1
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1
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Applied mathematical finance
1
International journal of theoretical and applied finance
1
Mathematical methods of operations research
1
Scandinavian actuarial journal
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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 mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang
;
Guo, Junyi
- In:
Mathematical methods of operations research
88
(
2018
)
1
,
pp. 59-79
Persistent link: https://www.econbiz.de/10011903385
Saved in:
3
Indifference fee rate for variable annuities
Chevalier, Etienne
;
Lim, Thomas
;
Romero, Ricardo Romo
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
Saved in:
4
Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette
;
Chevalier, Etienne
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011419373
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