保险公司时间不一致性决策模型与均衡策略研究

71201173
2012
G0114.金融工程
曾燕
青年科学基金项目
教授
中山大学
22万元
投资-再保险策略;分红-融资策略;时间不一致性;保险公司;均衡策略
2013-01-01到2015-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model 期刊论文 Yi, Bo|Li, Zhongfei|Viens, Frederi G.|Zeng, Yan|
2 Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk 期刊论文 Wu, Huiling|Zeng, Yan|
3 Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences 期刊论文 Shumin Chen|Xi Wang|Yinglu Deng|Yan Zeng|
4 隐Makrov机制转移与随机时间水平下的多期资产配置 期刊论文 张玲|曾燕|
5 Optimal investment reinsurance strategy for mean-variance insurers with square-root factor process 期刊论文 Shen, Yang|Zeng, Yan|
6 Optimal dividend strategies with time-inconsistent preferences 期刊论文 Chen, Shumin|Li, Zhongfei|Zeng, Yan|
7 Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps 期刊论文 Zeng, Yan|Li, Zhongfei|Lai, Yongzeng|
8 Optimal investment-reinsurance with delay for mean-variance insurers: A maximum principle approach 期刊论文 Shen, Yang|Zeng, Yan|
9 基于CRRA效用准则的资产负债管理 期刊论文 曾燕|李仲飞|朱书尚|伍慧玲|
10 Optimal portfolio selection in a Levy market with uncontrolled cash flow and only risky assets 期刊论文 Zeng, Yan|Li, Zhongfei|Wu, Huiling|
11 Equilibrium dividend Strategy withnon-exponential discounting in a dual model 期刊论文 Yongwu Li|Zhongfei Li|Yan Zeng|
12 不确定终止时间和通货膨胀影响下风险资产的最优投资策略 期刊论文 姚海祥|伍慧玲|曾燕|
13 Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps 期刊论文 Yan Zeng|Danping Li|Ailing Gu|
14 Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria 期刊论文 Yi, Bo|Viens, Frederi|Li, Zhongfei|Zeng, Yan|
15 Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion 期刊论文 Cui, Xiangyu|Xu, Lu|Zeng, Yan|
16 随机波动率市场存在股票误价时的最优投资策略 期刊论文 伊博, 李仲飞, 曾燕|
17 Multi-period Markowitz's mean-variance portfolio selection with state-dependent exit probability 期刊论文 Wu, Huiling|Zeng, Yan|Yao, Haixiang|
18 Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model 期刊论文 Gu, Ailing|Guo, Xianping|Li, Zhongfei|Zeng, Yan|
19 Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon 期刊论文 Yao, Haixiang|Zeng, Yan|Chen, Shumin|
20 不确定终止时间和通货膨胀影响下风险资产的最优投资策略 期刊论文 姚海祥|伍慧玲|曾燕|
21 Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon 期刊论文 Zeng, Yan|Wu, Huiling|Lai, Yongzeng|
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