6 citations · 10 across the 14 of their papers we have counts for
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q-fin.PM2022
A Stackelberg reinsurance-investment game under -maxmin mean-variance criterion and stochastic volatility
Guohui Guan, Zongxia Liang, Yilun Song
This paper investigates a Stackelberg game between an insurer and a reinsurer under the -maxmin mean-variance criterion. The insurer can purchase per-loss reinsurance from the r…
q-fin.MF2022★ 1 cited
The continuous-time pre-commitment KMM problem in incomplete markets
Guohui Guan, Zongxia Liang, Yilun Song
This paper studies the continuous-time pre-commitment KMM problem proposed by Klibanoff, Marinacci and Mukerji (2005) in incomplete financial markets, which concerns with the portf…