6 citations · 30 across the 63 of their papers we have counts for
8 papers · 1 filter
Optimal Reinsurance under Endogenous Default and Background Risk
Zongxia Liang, Zhaojie Ren, Bin Zou
This paper studies an optimal reinsurance problem for a utility-maximizing insurer, subject to the reinsurer's endogenous default and background risk. An endogenous default occurs…
Robust equilibrium strategies in a defined benefit pension plan game
Guohui Guan, Jiaqi Hu, Zongxia Liang
This paper investigates the robust {non-zero-sum} games in an aggregated {overfunded} defined benefit (abbr. DB) pension plan. The sponsoring firm is concerned with the investment…
Optimal management of DC pension fund under relative performance ratio and VaR constraint
Guohui Guan, Zongxia Liang, Yi xia
In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Infl…
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…
Optimal control of a big financial company with debt liability under bankrupt probability constraints
Zongxia Liang, Bin Sun
This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments…
Optimal dividend and investing control of a insurance company with higher solvency constraints
Zongxia Liang, Jianping Huang
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-out…