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Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 191-203
Persistent link: https://www.econbiz.de/10009558139
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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
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Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 498-507
Persistent link: https://www.econbiz.de/10009763600
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Mean-CVaR portfolio selection : a nonparametric estimation framework
Yao, Haixiang; Li, Zhongfei; Lai, Yongzeng - In: Computers & operations research : and their … 40 (2013) 4, pp. 1014-1022
Persistent link: https://www.econbiz.de/10009719644