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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
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Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin - In: Insurance / Mathematics & economics 100 (2021), pp. 384-407
Persistent link: https://www.econbiz.de/10012622401
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Constrained investment-reinsurance optimization with regime switching under variance premium principle
Lv, Chen; Qian, Linyi; Shen, Yang; Wang, Wei - In: Insurance / Mathematics & economics 71 (2016), pp. 253-267
Persistent link: https://www.econbiz.de/10011630835
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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