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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
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Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
Wu, Huiling; Zeng, Yan - In: Insurance / Mathematics & economics 64 (2015), pp. 396-408
Persistent link: https://www.econbiz.de/10011398120
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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
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Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Zeng, Yan; Li, Zhongfei; Lai, Yongzeng - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 498-507
Persistent link: https://www.econbiz.de/10009763600
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Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon
Yao, Haixiang; Zeng, Yan; Chen, Shumin - In: Economic modelling 30 (2013), pp. 492-500
Persistent link: https://www.econbiz.de/10009708888
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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
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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan; Li, Danping; Gu, Ailing - In: Insurance / Mathematics & economics 66 (2016), pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
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Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
Chen, Shumin; Wang, Xi; Deng, Yinglu; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 27-37
Persistent link: https://www.econbiz.de/10011457145
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Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
Zhang, Xin; Meng, Hui; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 125-132
Persistent link: https://www.econbiz.de/10011457200
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Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
Sun, Jingyun; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 158-172
Persistent link: https://www.econbiz.de/10011457232