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Asset and liability management...
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Li, Duan
144
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33
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27
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25
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18
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15
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14
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11
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10
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9
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7
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6
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6
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3
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3
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Zhang, Lian-Sheng
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ECONIS (ZBW)
98
OLC EcoSci
45
RePEc
33
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1
Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events
Chiu, Mei Choi
;
Wong, Hoi Ying
;
Li, Duan
- In:
Risk analysis : an international journal
32
(
2012
)
11
,
pp. 1856-1873
Persistent link: https://www.econbiz.de/10010044412
Saved in:
2
Asset and liability management under a continuous-time mean–variance optimization framework
Chiu, Mei Choi
;
Li, Duan
- In:
Insurance / Mathematics & economics
39
(
2006
)
3
,
pp. 330-355
Persistent link: https://www.econbiz.de/10007376583
Saved in:
3
Commodity derivatives pricing with cointegration and stochastic covariances
Chiu, Mei Choi
;
Wong, Hoi Ying
;
Zhao, Jing
- In:
European journal of operational research : EJOR
246
(
2015
)
2
,
pp. 476-486
Persistent link: https://www.econbiz.de/10011338124
Saved in:
4
Managing mortality risk with longevity bonds when mortality rates are cointegrated
Wong, Tat Wing
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
The journal of risk and insurance : the journal of the …
84
(
2017
)
3
,
pp. 987-1023
Persistent link: https://www.econbiz.de/10011749231
Saved in:
5
Robust dynamic pairs trading with cointegration
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Operations research letters
46
(
2018
)
2
,
pp. 225-232
Persistent link: https://www.econbiz.de/10011824890
Saved in:
6
Dynamic safety first expected utility model
Chiu, Mei Choi
;
Wong, Hoi Ying
;
Zhao, Jing
- In:
European journal of operational research : EJOR
271
(
2018
)
1
,
pp. 141-154
Persistent link: https://www.econbiz.de/10011882786
Saved in:
7
Optimal investment for insurers with correlation risk : risk aversion and investment horizon
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
IMA journal of management mathematics
29
(
2018
)
2
,
pp. 207-227
Persistent link: https://www.econbiz.de/10011888612
Saved in:
8
Mean-variance asset-liability management : cointegrated assets and insurance liability
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
European journal of operational research : EJOR
223
(
2012
)
3
,
pp. 785-793
Persistent link: https://www.econbiz.de/10009656135
Saved in:
9
Time-consistent mean-variance hedging of longevity risk : effect of cointegration
Wong, Tat Wing
;
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
56
(
2014
),
pp. 56-67
Persistent link: https://www.econbiz.de/10010385032
Saved in:
10
Optimal investment for an insurer with cointegrated assets : CRRA utility
Chiu, Mei Choi
;
Wong, Hoi Ying
- In:
Insurance / Mathematics & economics
52
(
2013
)
1
,
pp. 52-64
Persistent link: https://www.econbiz.de/10009719005
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