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Insurance claims modulated by a hidden Brownian marked point process
Elliott, Robert J.; Chen, Zhiping; Duan, Qihong - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 163-172
Persistent link: https://www.econbiz.de/10009517585
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Fair dynamic valuation of insurance liabilities via convex hedging
Chen, Ze; Chen, Bingzheng; Dhaene, Jan; Yang, Tianyu - In: Insurance / Mathematics & economics 98 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012545257
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Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Chen, Zhiping; Yang, Peng - In: Insurance / Mathematics & economics 92 (2020), pp. 27-46
Persistent link: https://www.econbiz.de/10012242037
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Fair dynamic valuation of insurance liabilities : merging actuarial judgement with market- and time-consistency
Barigou, Karim; Chen, Ze; Dhaene, Jan - In: Insurance / Mathematics & economics 88 (2019), pp. 19-29
Persistent link: https://www.econbiz.de/10012105356
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Optimal investment policy in the time consistent mean-variance formulation
Chen, Zhiping; Li, Gang; Guo, Ju'e - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 145-156
Persistent link: https://www.econbiz.de/10009736120
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The effect of modelling parameters on the value of GMWB guarantees
Chen, Z.; Vetzal, K.; Forsyth, P.A. - In: Insurance / Mathematics & economics 43 (2008) 1, pp. 165-173
Persistent link: https://www.econbiz.de/10008082351
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The effect of modelling parameters on the value of GMWB guarantees
Chen, Z.; Vetzal, K.; Forsyth, P.A. - In: Insurance / Mathematics & economics 43 (2008) 1, pp. 165-174
Persistent link: https://www.econbiz.de/10008883782