Optimal dynamic reinsurance with dependent risks: variance premium principle

By Zhibin Liang, Kam Chuen Yuen. 2016

128 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/08577253b6d6077fb0d1d9303356d9a6c632dbb4

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Jun Cai
2. Junna Bi
3. Jon A. Wellner
4. Fadoua Balabdaoui

In Finance

1. Jun Cai
2. Junna Bi
3. Qihe Tang

In Management Science and Operations Research

1. Jun Cai
2. Junna Bi
3. Ken Seng Tan
4. Yichun Chi
5. Qihe Tang
6. Chengguo Weng
7. Yi Zhang
8. Fadoua Balabdaoui

Citations in the corpus

• Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2019, methodology): “Under the same criterion, Zhang and Liang (2016) discussed the optimal portfolio selection problem with one risk-free asset and two jump-diffusion risky assets, where the two risky asset price processes are correlated through a common shock.”