Zobrazeno 1 - 10
of 66
pro vyhledávání: '"Chengguo Weng"'
Autor:
Chengguo Weng
Publikováno v:
Statistical Theory and Related Fields, Vol 4, Iss 1, Pp 16-19 (2020)
Externí odkaz:
https://doaj.org/article/8b2bfb35267449928b860ae6c6760770
Publikováno v:
North American Actuarial Journal. :1-20
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::548d9830139ea8c310965a29504eab34
https://doi.org/10.1080/10920277.2023.2167832
https://doi.org/10.1080/10920277.2023.2167832
Publikováno v:
European Journal of Operational Research. 297:325-337
This paper proposes an optimal dynamic strategy for hedging longevity risk in a discrete-time setting. Our proposed hedging strategy relies on standardized mortality-linked securities and minimizes the variance of the hedging error as induced by the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3b2d47063b30c1b193f5453e1ab453f
https://doi.org/10.1016/j.ejor.2021.05.055
https://doi.org/10.1016/j.ejor.2021.05.055
Publikováno v:
Operations Research Letters. 48:130-135
We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This financial market framework inc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2b44339226eb544e97b1ccec4186f2ae
https://doi.org/10.1016/j.orl.2020.01.001
https://doi.org/10.1016/j.orl.2020.01.001
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2484bda057fc56ecbd671ef045d064d5
https://doi.org/10.2139/ssrn.4277936
https://doi.org/10.2139/ssrn.4277936
Publikováno v:
Journal of Risk.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::581b68901b1d5cda7d17b543d8360e06
https://doi.org/10.21314/jor.2022.039
https://doi.org/10.21314/jor.2022.039
Autor:
Chengguo Weng, Zhiyi Shen
Publikováno v:
Quantitative Finance. 20:147-171
This paper studies the no-arbitrage pricing of the "Polaris Income Plus Daily" structured in the "Polaris Choice IV" variable annuities recently issued by the American International Group. Distinct from the withdrawal benefits studied in the literatu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::941de20eb787d92604366c0a20a441ec
https://doi.org/10.1080/14697688.2019.1635709
https://doi.org/10.1080/14697688.2019.1635709
Publikováno v:
North American Actuarial Journal. 23:364-385
Value-at-Risk (VaR) and Conditional Tail Expectation (CTE) are the two most frequently applied risk measures in quantitative risk management. Recently, expectile has also attracted much attention as a risk measure due to its elicitability property. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4d84113ba19d8e6f252436ed61287ac4
https://doi.org/10.1080/10920277.2019.1566075
https://doi.org/10.1080/10920277.2019.1566075
Publikováno v:
Insurance: Mathematics and Economics. 86:216-231
This paper studies the optimal risk-sharing between an insurer and a reinsurer. The insurer purchases reinsurance for risk-control and decides her retention level with an objective to minimize her ruin probability. The reinsurer has control over the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ad1a025190e0bd565d856a87e515641e
https://doi.org/10.1016/j.insmatheco.2019.03.004
https://doi.org/10.1016/j.insmatheco.2019.03.004
Publikováno v:
Insurance: Mathematics and Economics. 84:40-53
We investigate optimal strategies for a constant absolute risk aversion (CARA) insurer to manage its business risk through not only equity investment and proportional reinsurance but also trading derivatives of the equity. We obtain the optimal strat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e958b9586957229123430e89d02a17b8
https://doi.org/10.1016/j.insmatheco.2018.11.001
https://doi.org/10.1016/j.insmatheco.2018.11.001