2 citations · 2 across the 5 of their papers we have counts for
3 papers · 1 filter
On stochastic control problems with higher-order moments
Yike Wang, Jingzhen Liu, Alain Bensoussan +2
In this paper, we focus on a class of time-inconsistent stochastic control problems, where the objective function includes the mean and several higher-order central moments of the…
Strictly monotone mean-variance preferences with applications to portfolio selection
Yike Wang, Yusha Chen, Jingzhen Liu +1
The monotone mean-variance (MMV) preference proposed by Maccheroni, et al. (Math. Finance 19(3): 487-521, 2009) fails to differentiate strictly dominant payoffs, which may cause in…
The optimal reinsurance strategy with price-competition between two reinsurers
Liyuan Lin, Fangda Liu, Jingzhen Liu abd Luyang Yu
We study optimal reinsurance in the framework of stochastic game theory, in which there is an insurer and two reinsurers. A Stackelberg model is established to analyze the non-coop…