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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

Li, Danping; Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 78 (2018), pp. 72-86

Persistent link: https://www.econbiz.de/10011825217

On a new paradigm of optimal reinsurance : a stochastic stackelberg differential game between an insurer and a reinsurer

Lv, Chen; Shen, Yang - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 905-960

Persistent link: https://www.econbiz.de/10011875926

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

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - In: Scandinavian actuarial journal 2023 (2023) 5, pp. 413-449

Persistent link: https://www.econbiz.de/10014336459

Effect of variance swap in hedging volatility risk

Shen, Yang - In: Risks : open access journal 8 (2020) 3/70, pp. 1-34

This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston's stochastic volatility model. In the first problem, the financial market is complete and contains three primitive...

Persistent link: https://www.econbiz.de/10012293125