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~subject:"Rückversicherung"
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Rückversicherung
Theorie
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Theory
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Portfolio selection
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Stochastic process
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Stochastischer Prozess
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Option pricing theory
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contagion risk
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Ansteckungseffekt
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Contagion effect
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Markov chain
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Markov-Kette
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Reinsurance
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Capital income
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dynamic contagion process
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Zhao, Hui
6
Rong, Ximin
4
Li, Danping
2
Dassios, Angelos
1
Jang, Ji-Wook
1
Shen, Yang
1
Siu, Chi Chung
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Sun, Qingya
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Yam, Sheung Chi Phillip
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Insurance / Mathematics & economics
3
Finance and stochastics
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IMA journal of management mathematics
1
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1
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ECONIS (ZBW)
7
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Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
Dassios, Angelos
;
Jang, Ji-Wook
- In:
Finance and stochastics
7
(
2003
)
1
,
pp. 73-95
Persistent link: https://www.econbiz.de/10001724642
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2
Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Li, Danping
;
Rong, Ximin
;
Zhao, Hui
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 28-44
Persistent link: https://www.econbiz.de/10011396861
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3
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
Zhao, Hui
;
Rong, Ximin
;
Zhao, Yonggan
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 504-514
Persistent link: https://www.econbiz.de/10010227974
Saved in:
4
The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
Li, Danping
;
Rong, Ximin
;
Zhao, Hui
- In:
IMA journal of management mathematics
27
(
2016
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10011567155
Saved in:
5
Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Zhao, Hui
;
Shen, Yang
;
Zeng, Yan
;
Zhang, WenJun
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
Saved in:
6
Optimal excess-of-loss reinsurance and investment problem for insurers with loss aversion
Sun, Qingya
;
Rong, Ximin
;
Zhao, Hui
- In:
Theoretical economics letters
9
(
2019
)
4
,
pp. 1129-1151
Persistent link: https://www.econbiz.de/10012023209
Saved in:
7
A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung
;
Yam, Sheung Chi Phillip
;
Yang, Hailiang
; …
- In:
Scandinavian actuarial journal
(
2017
)
8
,
pp. 670-707
Persistent link: https://www.econbiz.de/10011848596
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