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Markovian regime-switching market completion using additional Markov jump assets

Zhang, Xin; Elliott, Robert J.; Siu, Tak Kuen; Guo, Junyi - In: IMA journal of management mathematics 23 (2012) 3, pp. 283-305

Persistent link: https://www.econbiz.de/10009572468

Mean-variance portfolio selection under a constant elasticity of variance model

Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342

Persistent link: https://www.econbiz.de/10010404397

Optimal investment and reinsurance of an insurer with model uncertainty

Zhang, Xin; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 81-88

Persistent link: https://www.econbiz.de/10009517594

Optimal investment and reinsurance of an insurer with model uncertainty

Zhang, Xin; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 81-89

Persistent link: https://www.econbiz.de/10008895437

Optimal investment and reinsurance of an insurer with model uncertainty

Zhang, Xin; Siu, Tak Kuen - In: Insurance: Mathematics and Economics 45 (2009) 1, pp. 81-88

We introduce a novel approach to optimal investment-reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is...

Persistent link: https://www.econbiz.de/10004973667