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Browsing "Department of Statistics & Actuarial Science" by Author liang, z
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Showing results 1 to 17 of 17
Title
Author(s)
Issue Date
Minimizing the probability of absolute ruin under ambiguity aversion
Journal:
Applied Mathematics and Optimization
Han, X
Liang, Z
Yuen, KC
Yuan, Y
2020
Minimizing the probability of absolute ruin under the mean-variance premium principle
Journal:
Optimal Control, Applications and Methods
Han, X
Liang, Z
Yuen, KC
2021
Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Journal:
International Journal of Financial Engineering
Zhang, C
Liang, Z
Yuen, KC
2019
Optimal dynamic reinsurance with dependent risks: variance premium principle
Journal:
Scandinavian Actuarial Journal
Liang, Z
Yuen, KC
2016
Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
Journal:
Mathematical Methods of Operations Research
Bi, J
Liang, Z
Yuen, KC
2019
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Journal:
Methematical Methods of Operations Research
Liang, Z
Bi, J
Yuen, KC
Zhang, C
2016
Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
Journal:
The ANZIAM Journal
Zhang, C
Liang, Z
Yuen, KC
2021
Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
Journal:
Insurance: Mathematics and Economics
Liang, Z
Yuen, KC
Guo, J
2011
Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
Journal:
Scandinavian Actuarial Journal
Han, X
Liang, Z
Yuen, KC
2018
Optimal proportional reinsurance with common shock dependence
Yuen, KC
Liang, Z
Zhou, M
2014
Optimal proportional reinsurance with common shock dependence
Journal:
Insurance: Mathematics and Economics
Yuen, KC
Liang, Z
Zhou, M
2015
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
Journal:
Journal of Applied Mathematics and Computing
Liang, Z
Yuen, KC
Zhang, C
2018
Optimal reinsurance and investment in a Markovian regime-switching economy with delayed system and common shock
Journal:
Science China Mathematics
Zhang, C
Liang, Z
Yuen, KC
2020
Optimal reinsurance in a compound Poisson risk model with dependence
Journal:
Journal of Applied Mathematics and Computing
Wei, W
Liang, Z
Yuen, KC
2018
Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
Journal:
Applied Stochastic Models in Business and Industry
Liang, Z
Yuen, KC
Cheung, KC
2012
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Journal:
European Journal of Operational Research
Yuan, Y
Han, X
Liang, Z
Yuen, KC
15-May-2023
Portfolio optimization for jump-diffusion risky assets with regime switching: A time-consistent approach
Journal:
Journal of Industrial and Management Optimization
Zhang, C
Liang, Z
Yuen, KC
2020
