Zobrazeno 1 - 10
of 53
pro vyhledávání: '"Jiaqin Wei"'
Publikováno v:
Statistical Theory and Related Fields, Vol 4, Iss 2, Pp 214-227 (2020)
This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting. The strategies are constrained in the non-negative cone and all coefficients in the model
Externí odkaz:
https://doaj.org/article/fd00dc46554f4d3c88790e8a17e3b401
Publikováno v:
Risks, Vol 5, Iss 1, p 20 (2017)
We consider the financial planning problem of a retiree wishing to enter a retirement village at a future uncertain date. The date of entry is determined by the retiree’s utility and bequest maximisation problem within the context of uncertain futu
Externí odkaz:
https://doaj.org/article/50d7d8d5a8d543d694782cc99f6e737f
Publikováno v:
Stochastics. 95:235-265
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::503f0460e97f20e6ab2eff72645fa128
https://doi.org/10.1080/17442508.2022.2070433
https://doi.org/10.1080/17442508.2022.2070433
Publikováno v:
Insurance: Mathematics and Economics. 101:80-90
We operationalise the theoretical modelling of Marin-Solano and Jorge Navas (2010), seeking to understand the consequences for optimal consumption, life insurance and annuity demand in a time inconsistent world, by incorporating the insurance insight
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80fd8965e7725216404ba72bd14684a2
https://doi.org/10.1016/j.insmatheco.2020.07.003
https://doi.org/10.1016/j.insmatheco.2020.07.003
Publikováno v:
Journal of Industrial & Management Optimization. 17:1147-1171
In this paper we investigate the management of a defined benefit pension plan under a model with random coefficients. The objective of the pension sponsor is to minimize the solvency risk, contribution risk and the expected terminal value of the unfu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::224f8c338a5c756588e974bff5932ac2
https://doi.org/10.3934/jimo.2020015
https://doi.org/10.3934/jimo.2020015
Autor:
JINGZHEN LIU, JIAQIN WEI
Publikováno v:
Journal of Industrial & Management Optimization; Mar2023, Vol. 19 Issue 3, p2226-2250, 25p
Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
Autor:
Jiaqin Wei, Qian Zhao
Publikováno v:
Communications in Statistics - Theory and Methods. 51:4296-4312
This paper considers a mean-variance asset-liability management problem in which short-selling is allowed, but accompanied by margin requirements. This is a mean-variance problem with a non linear ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ca6ce25166aa96728a1166a8deb776aa
https://doi.org/10.1080/03610926.2020.1812656
https://doi.org/10.1080/03610926.2020.1812656
Publikováno v:
Insurance: Mathematics and Economics. 91:244-256
This paper presents a technique to solve the problem where a couple aims to optimize their consumption, investment, and life-insurance purchasing strategies, thereby maximizing their family objective until retirement. Assumed correlated lifetimes of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d9386b001979ff0153d39fce47d96f7a
https://doi.org/10.1016/j.insmatheco.2020.02.006
https://doi.org/10.1016/j.insmatheco.2020.02.006
Publikováno v:
Statistical Theory and Related Fields. 4:214-227
This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting. The strategies are constrained in the...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bea5d7aae4978771f6718a1b9d9783f9
https://doi.org/10.1080/24754269.2020.1719356
https://doi.org/10.1080/24754269.2020.1719356
Publikováno v:
Mathematical Control & Related Fields. 10:761-783
This paper studies the portfolio management problem for an individual with a non-exponential discount function and habit formation in finite time. The investor receives a deterministic income, invests in risky assets, buys insurance and consumes cont
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08d90905efda2e49f49ac0de3e66fb2f
https://doi.org/10.3934/mcrf.2020019
https://doi.org/10.3934/mcrf.2020019