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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

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

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

Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

Li, Zhongfei; Zeng, Yan; Lai, Yongzeng - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 191-203

Persistent link: https://www.econbiz.de/10009558139

Control variate methods and applications to Asian and basket options pricing under jump-diffusion models

Lai, Yongzeng; Li, Zhongfei; Zeng, Yan - In: IMA journal of management mathematics 26 (2015) 1, pp. 11-37

Persistent link: https://www.econbiz.de/10011376988

Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103

Persistent link: https://www.econbiz.de/10011973926

Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

Shen, Yang; Siu, Tak Kuen - In: Operations research letters 41 (2013) 2, pp. 180-187

Persistent link: https://www.econbiz.de/10009727702

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