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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
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Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
Chen, Zheng; Li, Zhongfei; Zeng, Yan; Sun, Jingyun - In: Insurance / Mathematics & economics 75 (2017), pp. 137-150
Persistent link: https://www.econbiz.de/10011740793
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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
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Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
Chen, Shumin; Wang, Xi; Deng, Yinglu; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 27-37
Persistent link: https://www.econbiz.de/10011457145
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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
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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
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Portfolio choice with illiquid asset for a loss-averse pension fund investor
Chen, Zheng; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 108 (2023), pp. 60-83
Persistent link: https://www.econbiz.de/10013534511