activity
20202025
most citedVolterra mortality model: Actuarial valuation and risk management with long-range dependence

4 citations · 4 across the 3 of their papers we have counts for

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Showing 2021Show all

2 papers · 1 filter

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-…