Výsledky vyhledávání - "Chiu, Mei Choi"

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Optimal Expansion of Business Opportunity

Autor: Wang, Ling, Chen, Kexin, Chiu, Mei Choi, Wong, Hoi Ying

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

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Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate

Autor: Wang, Ling, Chiu, Mei Choi, Wong, Hoi Ying

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

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Volterra mortality model: Actuarial valuation and risk management with long-range dependence

Autor: Wang, Ling, Chiu, Mei Choi, Wong, Hoi Ying

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

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Akademický článek

Portfolio liquidation with delayed information

Autor: Yan, Tingjin, Chiu, Mei Choi, Wong, Hoi Ying

Publikováno v: In Economic Modelling September 2023 126

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Akademický článek

Volterra mortality model: Actuarial valuation and risk management with long-range dependence

Autor: Wang, Ling, Chiu, Mei Choi, Wong, Hoi Ying

Publikováno v: In Insurance Mathematics and Economics January 2021 96:1-14

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General Riemann-Stieltjes integrals

Autor: Chiu, Mei Choi.

Publikováno v: View Abstract or Full-Text..

Thesis (M. Phil.)--Hong Kong University of Science and Technology, 2002.
Includes bibliographical references (leaves 40). Also available in electronic version. Access restricted to campus users.

Externí odkaz: http://library.ust.hk/cgi/db/thesis.pl?MATH%202002%20CHIU

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