4 citations · 4 across the 2 of their papers we have counts for
3 papers
q-fin.RM2021
Optimal Expansion of Business Opportunity
Ling Wang, Kexin Chen, Mei Choi Chiu +1
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expan…
q-fin.RM2021
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Ling Wang, Mei Choi Chiu, Hoi Ying Wong
This paper investigates the time-consistent mean-variance reinsurance-investment (RI) problem faced by life insurers. Inspired by recent findings that mortality rates exhibit long-…
q-fin.MF2020★ 4 cited
Volterra mortality model: Actuarial valuation and risk management with long-range dependence
Ling Wang, Mei Choi Chiu, Hoi Ying Wong
While abundant empirical studies support the long-range dependence (LRD) of mortality rates, the corresponding impact on mortality securities are largely unknown due to the lack of…