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On reinsurance and investment for large insurance portfolios

Luo, Shangzhen; Taksar, Michael I.; Tsoi, Allanus - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 434-444

Persistent link: https://www.econbiz.de/10003682573

On absolute ruin minimization under a diffusion approximation model

Luo, Shangzhen; Taksar, Michael I. - In: Insurance / Mathematics & economics 48 (2011) 1, pp. 123-133

Persistent link: https://www.econbiz.de/10008839750

Optimal excess-of-loss reinsurance under borrowing constraints

Luo, Shangzhen; Taksar, Michael I. - In: Risk and decision analysis 2 (2010/11) 2, pp. 103-123

Persistent link: https://www.econbiz.de/10009304894

Minimal cost of a Brownian risk without ruin

Luo, Shangzhen; Taksar, Michael I. - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 685-693

Persistent link: https://www.econbiz.de/10009683193

Optimal reinsurance under a jump diffusion model

Luo, Shangzhen - In: Stochastic analysis, stochastic systems, and …, (pp. 215-230). 2011

Persistent link: https://www.econbiz.de/10009271666

On proportional reinsurance with a linear transaction rate

Luo, Shangzhen - In: Risk and decision analysis 3 (2012) 1/2, pp. 115-137

Persistent link: https://www.econbiz.de/10009655131

Stochastic Pareto-optimal reinsurance policies

Zeng, Xudong; Luo, Shangzhen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 671-677

Persistent link: https://www.econbiz.de/10010227906

Asymptotic investment behaviors under a jump-diffusion risk process

Belkina, Tatiana; Luo, Shangzhen - In: North American actuarial journal 21 (2017) 1, pp. 36-62

Persistent link: https://www.econbiz.de/10011857974

Stochastic analysis, stochastic systems, and applications to finance

Tsoi, Allanus (ed.); Nualart, David (contributor); … - 2011

Persistent link: https://www.econbiz.de/10009267795

A level set analysis and a nonparametric regression on S&P 500 daily return

Yang, Yipeng; Tsoi, Allanus - In: International Journal of Financial Studies : open … 4 (2016) 1, pp. 1-24

In this paper, a level set analysis is proposed which aims to analyze the S&P 500 return with a certain magnitude. It is found that the process of large jumps/drops of return tend to have negative serial correlation, and volatility clustering phenomenon can be easily seen. Then, a nonparametric...

Persistent link: https://www.econbiz.de/10011474458