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  • Search: person:"Weng, Chengguo"
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Year of publication
Subject
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Theorie 39 Theory 39 Portfolio selection 24 Portfolio-Management 24 Reinsurance 22 Rückversicherung 20 Risiko 13 Risk 13 Mathematical programming 11 Mathematische Optimierung 11 Risikomanagement 11 Risk management 11 Insurance 9 Risikomodell 9 Risk model 9 Stochastic process 8 Stochastischer Prozess 8 Hedging 7 Estimation theory 6 Risikomaß 6 Risk measure 6 Schätztheorie 6 Versicherung 6 Agrarversicherung 5 Agricultural insurance 5 Contract 5 Contract theory 5 Mortality 5 Optimal reinsurance 5 Option pricing theory 5 Optionspreistheorie 5 Sterblichkeit 5 Vertrag 5 Vertragstheorie 5 Canada 4 Forecasting model 4 Nichtparametrisches Verfahren 4 Nonparametric statistics 4 Private Altersvorsorge 4 Private retirement provision 4
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Online availability
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Undetermined 39 Free 37
Type of publication
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Article 53 Book / Working Paper 38
Type of publication (narrower categories)
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Article in journal 33 Aufsatz in Zeitschrift 33 Aufsatzsammlung 1 research-article 1
Language
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English 74 Undetermined 17
Author
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Weng, Chengguo 91 Ken Seng Tan 19 Tan, Ken Seng 12 Zhang, Yi 11 Saunders, David M. 9 Jiang, Ruihong 7 Wirjanto, Tony S. 7 Chi, Yichun 6 Porth, Lysa 6 Guo, Danqiao 5 Shen, Zhiyi 5 Xue, Xiaole 5 Cai, Jun 4 Diao, Liqun 4 Lin, Hongcan 4 Wei, Pengyu 4 Zhang, Jinggong 4 Zhang, Jingong 4 Zhuang, Sheng Chao 4 Boyle, Phelim P. 3 Meng, Yechao 3 Yi, Zhang 3 Zeng, Yan 3 Assa, Hirbod 2 Cong, Jianfa 2 Gerber, Hans U. 2 Huang, Zhenzhen 2 Liu, Yanchu 2 Liu, Yukun 2 Sun, Haoze 2 Wu, Huiling 2 Zhu, Yunzhou 2 Boyle, Phelim 1 Chen, Shumin 1 Han, Dezhao 1 Neuman, Eyal 1 Samaratunga, Ryan 1 Saunders, David 1 Schied, Alexander 1 Seng Tan, Ken 1
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Published in...
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Insurance / Mathematics & economics 17 Insurance: Mathematics and Economics 6 North American actuarial journal : NAAJ ; leading the way with original research and innovative applications for actuarial science 6 North American actuarial journal 3 Agricultural Finance Review 2 Agricultural finance review 2 Quantitative finance 2 The Geneva risk and insurance review 2 Applied Stochastic Models in Business and Industry 1 Astin bulletin : the journal of the International Actuarial Association 1 European journal of operational research : EJOR 1 Insurance : mathematics and economics 1 International journal of theoretical and applied finance 1 Journal of Multivariate Analysis 1 Journal of risk 1 OR spectrum : quantitative approaches in management 1 Operations research letters 1 Scandinavian actuarial journal 1 Statistics & Probability Letters 1 Stochastic Processes and their Applications 1 The Geneva Risk and Insurance Review 1 The Geneva papers on risk and insurance - issues and practice : an official journal of the Geneva Association 1
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Source
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ECONIS (ZBW) 69 RePEc 11 OLC EcoSci 8 Other ZBW resources 2 BASE 1
Showing 1 - 10 of 91
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Tail Mean-Variance Portfolio Selection with Estimation Risk
Huang, Zhenzhen; Wei, Pengyu; Weng, Chengguo - 2023
Tail Mean-Variance (TMV) has emerged from the actuarial community as a criterion for risk management and portfolio selection, with a focus on extreme losses. The existing literature on portfolio optimization under the TMV criterion relies on the plug-in approach that substitutes the unknown mean...
Persistent link: https://www.econbiz.de/10014347301
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Two-Phase Selection of Representative Contracts for Valuation of Large Variable Annuity Portfolios
Jiang, Ruihong; Saunders, David M.; Weng, Chengguo - 2022
A computationally appealing methodology for the valuation of large variable annuities portfolios is a metamodelling framework that evaluates a small set of representative contracts, fits a predictive model based on these computed values, and then extrapolates the model to estimate the values of...
Persistent link: https://www.econbiz.de/10014264698
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Two-Phase Selection of Representative Contracts for Valuation of Large Variable Annuity Portfolios
Jiang, Ruihong; Saunders, David M.; Weng, Chengguo - 2022
A computationally appealing methodology for the valuation of large variable annuities portfolios is a metamodelling framework that evaluates a small set of representative contracts, fits a predictive model based on these computed values, and then extrapolates the model to estimate the values of...
Persistent link: https://www.econbiz.de/10014238308
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Tail mean-variance portfolio selection with estimation risk
Huang, Zhenzhen; Wei, Pengyu; Weng, Chengguo - In: Insurance : mathematics and economics 116 (2024), pp. 218-234
Persistent link: https://www.econbiz.de/10015066806
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Enhancing mortality forecasting through bivariate model-based ensemble
Diao, Liqun; Meng, Yechao; Weng, Chengguo; Wirjanto, Tony S. - In: North American actuarial journal : NAAJ ; leading the … 27 (2023) 4, pp. 751-770
Persistent link: https://www.econbiz.de/10014444119
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Two-phase selection of representative contracts for valuation of large variable annuity portfolios
Jiang, Ruihong; Saunders, David M.; Weng, Chengguo - In: Insurance / Mathematics & economics 113 (2023), pp. 293-309
Persistent link: https://www.econbiz.de/10014466217
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A DSA Algorithm for Mortality Forecasting
Diao, Liqun - 2020
Borrowing information from populations with similar structural mortality patterns and trajectories has been well recognized as a useful strategy for the mortality forecasting of a target population. This paper presents a flexible framework for the selection of populations from a given candidate...
Persistent link: https://www.econbiz.de/10012841679
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Index Insurance Design
Zhang, Jinggong - 2020
In this article, we study the problem of optimal index insurance design under an expected utility maximization framework. For general utility functions, we formally prove the existence and uniqueness of optimal contract, and develop an effective numerical procedure to calculate the optimal...
Persistent link: https://www.econbiz.de/10012851474
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Optimal Dynamic Longevity Hedge with Basis Risk
Weng, Chengguo - 2020
This paper proposes an optimal dynamic strategy for hedging longevity risk in a discrete-time setting. Our proposed hedging strategy relies on standardized mortality-linked securities and minimizes the variance of the hedging error as induced by the population basis risk. While the formulation...
Persistent link: https://www.econbiz.de/10012829716
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Nonparametric Inference for VaR, CTE, and Expectile with High-order Precision
Shen, Zhiyi - 2019
Value-at-Risk (VaR) and Conditional Tail Expectation (CTE) are the two most frequently applied risk measures in quantitative risk management. Recently, expectile has also attracted much attention as a risk measure due to its elicitability property. This paper establishes empirical likelihood...
Persistent link: https://www.econbiz.de/10012894675
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