Ping Chen

Risk modelling on liquidations with Levy processes

Aili Zhang, Ping Chen, Shuanming Li, Wenyuan Wang

Journal article  |  2022  |  APPLIED MATHEMATICS AND COMPUTATION

In classical ruin theory, the time of ruin is defined as the time when the surplus of an insurance portfolio falls below zero. Thi..

Equilibrium Periodic Dividend Strategies with non-exponential Discounting for Spectrally Positive Levy Processes

W Zhong, Y Zhao, P Chen

Journal article  |  2021  |  Journal of Industrial and Management Optimization

In the dual risk model, we study the periodic dividend problem with a non-exponential discount function which results in a time-in..

On a class of non-zero-sum stochastic differential dividend games with regime switching

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2021  |  APPLIED MATHEMATICS AND COMPUTATION

This paper investigates a class of non-zero-sum stochastic differential game problems between two insurance companies. The surplus..

Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2021  |  Journal of Industrial and Management Optimization

This paper investigates a continuous-time mean-variance portfolio selection problem based on a log-return model. The financial mar..

Open-loop equilibrium strategy for mean–variance asset–liability management portfolio selection problem with debt ratio

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2020  |  Journal of Computational and Applied Mathematics

In this study, we consider a time-consistent mean–variance asset–liability management portfolio selection problem in which the lia..

Dividend payments until draw-down time for risk models driven by spectrally negative Levy processes

Zhang Liu, Ping Chen

Journal article  |  2020  |  COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION

In this paper, a risk model driven by spectrally negative Lévy processes is considered where dividends until a general draw-down t..

On the dual risk model with diffusion under a mixed dividend strategy

Z Liu, P Chen, Y Hu

Journal article  |  2020  |  Applied Mathematics and Computation

Inspired by the work of Zhang and Han (2017), this paper investigates a dual model with diffusion where dividends are paid under a..

Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching

Ping Chen, Haixiang Yao

Journal article  |  2020  |  Journal of Industrial and Management Optimization

The present article investigates a continuous-time mean-variance portfolio selection problem with regime-switching under the const..

Generalized expected discounted penalty function at general drawdown for Lévy risk processes

Wenyuan Wang, Ping Chen, Shuanming Li

Journal article  |  2020  |  Insurance: Mathematics and Economics

This paper considers an insurance surplus process modeled by a spectrally negative Lévy process. Instead of the time of ruin in th..

CONTINUOUS-TIME MEAN-VARIANCE OPTIMIZATION for DEFINED CONTRIBUTION PENSION FUNDS with REGIME-SWITCHING

Z Chen, L Wang, P Chen, H Yao

Journal article  |  2019  |  International Journal of Theoretical and Applied Finance

Using mean-variance (MV) criterion, this paper investigates a continuous-time defined contribution (DC) pension fund investment pr..