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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

Asset allocation under stochastic interest rate with regime switching

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136

Persistent link: https://www.econbiz.de/10009667429

Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach

Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 57 (2014), pp. 1-12

Persistent link: https://www.econbiz.de/10010402753

Mean-variance portfolio selection under a constant elasticity of variance model

Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342

Persistent link: https://www.econbiz.de/10010404397

Continuous-time stochastic mutual fund management game between active and passive funds

Han, Kai; Rong, Ximin; Shen, Yang; Zhao, Hui - In: Quantitative finance 21 (2021) 10, pp. 1647-1667

Persistent link: https://www.econbiz.de/10012653705

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

A continuous-time theory of reinsurance chains

Lv, Chen; Shen, Yang; Su, Jianxi - In: Insurance / Mathematics & economics 95 (2020), pp. 129-146

Persistent link: https://www.econbiz.de/10012419263

The stock investment performance of pension funds in China

Shen, Yu; Zhu, Kehan; Wu, Fengyun; Chen, Ping - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 12, pp. 2732-2748

Persistent link: https://www.econbiz.de/10012312675

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

Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model

Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375

Persistent link: https://www.econbiz.de/10012262741