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Optimal pairs trading with dynamic mean-variance objective

Zhu, Dong-Mei; Gu, Jia-Wen; Yu, Feng-Hui; Siu, Tak Kuen; … - In: Mathematical methods of operations research : ZOR 94 (2021) 1, pp. 145-168

Persistent link: https://www.econbiz.de/10012618990

Singular dividend optimization for a linear diffusion model with time-inconsistent preferences

Zhu, Jinxia; Siu, Tak Kuen; Yang, Hailiang - In: European journal of operational research : EJOR 285 (2020) 1, pp. 66-80

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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

Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework

Lv, Chen; Shen, Yang - In: Insurance / Mathematics & economics 88 (2019), pp. 120-137

Persistent link: https://www.econbiz.de/10012105527

Mean-variance investment and risk control strategies : a time-consistent approach via a forward auxiliary process

Shen, Yang; Zou, Bin - In: Insurance / Mathematics & economics 97 (2021), pp. 68-80

Persistent link: https://www.econbiz.de/10012491963

On dividend strategies with non-exponential discounting

Zhao, Qian; Wei, Jiaqin; Wang, Rongming - In: Insurance / Mathematics & economics 58 (2014), pp. 1-13

Persistent link: https://www.econbiz.de/10010437647

Exponential utility maximization for an insurer with time-inconsistent preferences

Zhao, Qian; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 70 (2016), pp. 89-104

Persistent link: https://www.econbiz.de/10011597189

Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers

Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114

Persistent link: https://www.econbiz.de/10011990618

Time-Consistent Investment-Reinsurance Strategy for Mean-Variance Insurers With a Defaultable Security

Zhao, Hui - 2015

This paper considers an optimal investment and reinsurance problem involving a defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk model. The insurer is allowed to purchase proportional reinsurance or acquire new business and invest in a financial...

Persistent link: https://www.econbiz.de/10013028201