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~person:"Zeng, Yan"
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Portfolio selection
12
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8
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5
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5
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Zeng, Yan
McAleer, Michael
61
Barndorff-Nielsen, Ole E.
38
Nielsen, Morten Ørregaard
37
Shephard, Neil
35
MacKinnon, James G.
31
Sun, Yixiao
30
Antonakakis, Nikolaos
27
Caporin, Massimiliano
26
Ledoit, Olivier
26
Madan, Dilip B.
24
Diebold, Francis X.
23
Menkveld, Albert J.
23
Yılmaz, Kamil
23
Bollerslev, Tim
22
Hansen, Peter Reinhard
22
Caporale, Guglielmo Maria
21
Christensen, Kim
21
Wolf, Michael
21
Frahm, Gabriel
20
Hartung, Joachim
20
Schmid, Wolfgang
20
Bodnar, Taras
19
Wong, Wing Keung
19
Lunde, Asger
18
Phillips, Peter C.B.
18
Webb, Matthew
18
Wong, Wing-Keung
18
Carr, Peter
17
Alexander, Carol
16
Dreber, Anna
16
Ferrer-i-Carbonell, Ada
16
Mirdala, Rajmund
16
Podolskij, Mark
16
Bonato, Matteo
15
Chang, Chia-Lin
15
Fabozzi, Frank J.
15
Gupta, Rangan
15
Holzmeister, Felix
15
Johannesson, Magnus
15
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Insurance / Mathematics & economics
8
Insurance: Mathematics and Economics
3
Economic Modelling
2
Economic modelling
2
Astin bulletin : the journal of the International Actuarial Association
1
IMA journal of management mathematics
1
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ECONIS (ZBW)
13
RePEc
5
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1
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Wang, Wenyuan
;
Muravey, Dmitry
;
Shen, Yang
;
Zeng, Yan
- In:
Scandinavian actuarial journal
2023
(
2023
)
5
,
pp. 413-449
Persistent link: https://www.econbiz.de/10014336459
Saved in:
2
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 / Mathematics & economics
88
(
2019
),
pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
Saved in:
3
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
Saved in:
4
Stochastic differential games between two insurers with generalized mean-
variance
premium principle
Chen, Shumin
;
Yang, Hailiang
;
Zeng, Yan
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
1
,
pp. 413-434
Persistent link: https://www.econbiz.de/10011875615
Saved in:
5
Robust equilibrium reinsurance-investment strategy for a mean-
variance
insurer in a model with jumps
Zeng, Yan
;
Li, Danping
;
Gu, Ailing
- In:
Insurance / Mathematics & economics
66
(
2016
),
pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
Saved in:
6
Optimal investment and reinsurance strategies for insurers with generalized mean-
variance
premium principle and no-short selling
Zhang, Xin
;
Meng, Hui
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
67
(
2016
),
pp. 125-132
Persistent link: https://www.econbiz.de/10011457200
Saved in:
7
Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
Sun, Jingyun
;
Li, Zhongfei
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
67
(
2016
),
pp. 158-172
Persistent link: https://www.econbiz.de/10011457232
Saved in:
8
Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
Lai, Yongzeng
;
Li, Zhongfei
;
Zeng, Yan
- In:
IMA journal of management mathematics
26
(
2015
)
1
,
pp. 11-37
Persistent link: https://www.econbiz.de/10011376988
Saved in:
9
Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-
variance
criterion and mortality risk
Wu, Huiling
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 396-408
Persistent link: https://www.econbiz.de/10011398120
Saved in:
10
Optimal investment-reinsurance strategy for mean-
variance
insurers with square-root factor process
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 118-137
Persistent link: https://www.econbiz.de/10011312080
Saved in:
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