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Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums

Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338

Persistent link: https://www.econbiz.de/10011642179

International value versus growth : evidence from stochastic dominance analysis

Abhyankar, Abhay; Ho, Keng-Yu; Zhao, Huainan - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 222-232

Persistent link: https://www.econbiz.de/10003901041

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

Optimal investment problem with multiple risky assets under the constant elasticity of variance (CEV) model

Zhao, Hui; Rong, Ximin; Ma, Weiqin; Gao, Bo - In: Modern economy 3 (2012) 6, pp. 718-725

Persistent link: https://www.econbiz.de/10009720485

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

Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484

Persistent link: https://www.econbiz.de/10012500958

A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance

Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks : open access journal 7 (2019) 4/103, pp. 1-18

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

Persistent link: https://www.econbiz.de/10012128012

Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process

Wu, Lan; Zang, Xin; Zhao, Hongxin - In: Quantitative finance 20 (2020) 8, pp. 1285-1306

Persistent link: https://www.econbiz.de/10012262663

A generalized contagion process with an application to credit risk

Dassios, Angelos; Zhao, Hongbiao - In: International journal of theoretical and applied finance 20 (2017) 1, pp. 1-33

Persistent link: https://www.econbiz.de/10011686792

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