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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

The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

Li, Danping; Rong, Ximin; Zhao, Hui - In: IMA journal of management mathematics 27 (2016) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10011567155

Transaction costs, liquidity risk, and the CCAPM

Liu, Weimin; Luo, Di; Zhao, Huainan - In: Journal of banking & finance 63 (2016), pp. 126-145

Persistent link: https://www.econbiz.de/10011634184

On the constant elasticity of variance model for the utility maximization problem with multiple risky assets

Zhao, Hui; Rong, Ximin - In: IMA journal of management mathematics 28 (2017) 2, pp. 299-320

Persistent link: https://www.econbiz.de/10011723286

Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model

Li, Danping; Rong, Ximin; Zhao, Hui; Yi, Bo - In: Insurance / Mathematics & economics 72 (2017), pp. 6-20

Persistent link: https://www.econbiz.de/10011691490

Do firms' leverage deviations affect overconfident CEOs' acquisition decisions?

Chai, Qingfu; Vortelinos, Dimitrios; Zhao, Huainan - In: Corporate ownership & control : international … 13 (2015/2016) 3, pp. 111-120

Persistent link: https://www.econbiz.de/10011666462

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

Optimal investment problem for life insurance company by considering health-level

Chen, Jiachen; Rong, Ximin; Zhao, Hui - In: Modern economy 10 (2019) 4, pp. 1107-1120

Persistent link: https://www.econbiz.de/10012104774

Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion

Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, WenJun - In: Insurance / Mathematics & economics 88 (2019), pp. 159-180

Persistent link: https://www.econbiz.de/10012105537