Zobrazeno 1 - 10
of 170
pro vyhledávání: '"Weng, Chengguo"'
Publikováno v:
In Insurance Mathematics and Economics May 2024 116:218-234
We consider a central bank strategy for maintaining a two-sided currency target zone, in which an exchange rate of two currencies is forced to stay between two thresholds. To keep the exchange rate from breaking the prescribed barriers, the central b
Externí odkaz:
http://arxiv.org/abs/2008.00470
Publikováno v:
In Insurance Mathematics and Economics November 2023 113:293-309
Autor:
Shen, Zhiyi, Weng, Chengguo
A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic control proble
Externí odkaz:
http://arxiv.org/abs/1901.06715
Based on a generalized cosine measure between two symmetric matrices, we propose a general framework for one-sample and two-sample tests of covariance and correlation matrices. We also develop a set of associated permutation algorithms for some commo
Externí odkaz:
http://arxiv.org/abs/1812.01172
Publikováno v:
In European Journal of Operational Research 16 February 2022 297(1):325-337
Autor:
Weng, Chengguo
The research on optimal reinsurance design dated back to the 1960’s. For nearly half a century, the quest for optimal reinsurance designs has remained a fascinating subject, drawing significant interests from both academicians and practitioners. It
Externí odkaz:
http://hdl.handle.net/10012/4766
Publikováno v:
In Insurance Mathematics and Economics May 2019 86:216-231
Publikováno v:
In Insurance Mathematics and Economics January 2019 84:40-53
Publikováno v:
The Geneva Papers on Risk and Insurance. Issues and Practice, 2017 Apr 01. 42(2), 226-246.
Externí odkaz:
https://www.jstor.org/stable/45199547