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pro vyhledávání: '"Chiu, Mei Choi"'
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expansion as an enlargement of the opportunity set for business policies. H
Externí odkaz:
http://arxiv.org/abs/2112.06706
This paper investigates the time-consistent mean-variance reinsurance-investment (RI) problem faced by life insurers. Inspired by recent findings that mortality rates exhibit long-range dependence (LRD), we examine the effect of LRD on RI strategies.
Externí odkaz:
http://arxiv.org/abs/2112.06602
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities are largely unknown due to the lack of appropriate tractable models for valuation and risk management purpos
Externí odkaz:
http://arxiv.org/abs/2009.09572
Publikováno v:
In Economic Modelling September 2023 126
Publikováno v:
In Insurance Mathematics and Economics January 2021 96:1-14
Publikováno v:
Scandinavian Actuarial Journal. Mar2023, Vol. 2023 Issue 2, p123-152. 30p.
Autor:
Yan, Tingjin1 (AUTHOR) tjyan@fem.ecnu.edu.cn, Chiu, Mei Choi2 (AUTHOR), Wong, Hoi Ying3 (AUTHOR)
Publikováno v:
Quantitative Finance. Sep2022, Vol. 22 Issue 9, p1627-1648. 22p.
Publikováno v:
The Journal of Risk and Insurance, 2017 Sep 01. 84(3), 987-1023.
Externí odkaz:
https://www.jstor.org/stable/26483847
Akademický článek
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Publikováno v:
In Insurance Mathematics and Economics November 2016 71:353-366