3 citations · 3 across the 7 of their papers we have counts for
7 papers
Robust Investment-Driven Insurance Pricing under Correlation Ambiguity
Shunzhi Pang
As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial ri…
Robust Investment-Driven Insurance Pricing and Liquidity Management
Bingzheng Chen, Jan Dhaene, Chun Liu +1
This paper develops a dynamic equilibrium model of the insurance market that jointly characterizes insurers' underwriting, investment, recapitalization, and dividend policies under…
Robust Insurance Pricing and Liquidity Management
Shunzhi Pang
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates ho…
Dynamic Investment-Driven Insurance Pricing and Optimal Regulation
Bingzheng Chen, Zongxia Liang, Shunzhi Pang
This paper analyzes the equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible e…
Monotone Mean-Variance Portfolio Selection in Semimartingale Markets: Martingale Method
Yuchen Li, Zongxia Liang, Shunzhi Pang
We use the martingale method to discuss the relationship between mean-variance (MV) and monotone mean-variance (MMV) portfolio selections. We propose a unified framework to discuss…
Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model
Yuchen Li, Zongxia Liang, Shunzhi Pang
This paper compares the optimal investment problems based on monotone mean-variance (MMV) and mean-variance (MV) preferences in the Lévy market with an untradable stochastic factor…
Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model
Yuchen Li, Zongxia Liang, Shunzhi Pang
We study continuous-time portfolio selection under monotone mean-variance (MMV) preferences in a jump-diffusion model, presenting an explicit solution different from that under cla…