2 citations · 2 across the 4 of their papers we have counts for
5 papers
Optimal VPPI strategy under Omega ratio with stochastic benchmark
Guohui Guan, Lin He, Zongxia Liang +1
This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the invest…
Optimal Mix Among PAYGO, EET and Individual Savings
Lin He, Zongxia Liang, Zhaojie Ren +1
In order to deal with the aging problem, pension system is actively transformed into the funded scheme. However, the funded scheme does not completely replace PAYGO (Pay as You Go)…
Modern Tontine with Transaction Costs
Lin He, Zongxia Liang, Sheng Wang
In this paper, we propose a new type of reversible modern tontine with transaction costs. The wealth of the retiree is divided into a bequest account and a tontine account. And con…
Optimal Retirement Time and Consumption with the Variation in Habitual Persistence
Lin He, Zongxia Liang, Yilun Song +1
In this paper,we study the individual's optimal retirement time and optimal consumption under habitual persistence. Because the individual feels equally satisfied with a lower habi…
Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
Zongxia Liang, Lin He, Jiaoling Wu
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake…