Similar Search Results

Composite time-consistent multi-period risk measure and its application in optimal portfolio selection

Chen, Zhiping; Liu, Jia; Li, Gang; Yan, Zhe - In: Top : transactions in operations research 24 (2016) 3, pp. 515-540

Persistent link: https://www.econbiz.de/10011671484

Time consistent multi-period robust risk measures and portfolio selection models with regime-switching

Liu, Jia; Chen, Zhiping - In: European journal of operational research : EJOR 268 (2018) 1, pp. 373-385

Persistent link: https://www.econbiz.de/10011813114

The cost of delay as risk measure in target-based multi-period portfolio selection models

Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377

Persistent link: https://www.econbiz.de/10014634191

Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Li Yang; Chen, Zhiping; Hu, Qianhui - In: China finance review international 4 (2014) 4, pp. 360-384

Persistent link: https://www.econbiz.de/10011339001

Tail nonlinearly transformed risk measure and its application

Chen, Zhiping; Li Yang; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-860

Persistent link: https://www.econbiz.de/10009631526

Time consistency and time consistent generalized convex multistage risk measures

Li Yang; Chen, Zhiping; Zhang, Feng - In: IMA journal of management mathematics 27 (2016) 3, pp. 419-437

Persistent link: https://www.econbiz.de/10011593272

Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework

Yang, Peng; Chen, Zhiping - In: IMA journal of management mathematics 34 (2023) 4, pp. 661-694

Persistent link: https://www.econbiz.de/10014389017

Optimal portfolio and insurance strategy with biometric risks, habit formation and smooth ambiguity

Wang, Tao; Chen, Zhiping - In: Insurance : mathematics and economics 118 (2024), pp. 195-222

Persistent link: https://www.econbiz.de/10015067067

Multivariate risk-neutral pricing of reverse mortgages under the Bayesian framework

Li, Jackie; Kogure, Atsuyuki; Liu, Jia - In: Risks : open access journal 7 (2019) 1/11, pp. 1-12

In this paper, we suggest a Bayesian multivariate approach for pricing a reverse mortgage, allowing for house price risk, interest rate risk and longevity risk. We adopt the principle of maximum entropy in risk-neutralisation of these three risk components simultaneously. Our numerical results...

Persistent link: https://www.econbiz.de/10012018623

Convex risk measures based on generalized lower deviation and their applications

Fu, Tianwen; Zhuang, Xinkai; Hui, Yongchang; Liu, Jia - In: International review of financial analysis 52 (2017), pp. 27-37

Persistent link: https://www.econbiz.de/10011868689