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Enhance The Applicability Of Mean-Variance Optimization By Random Matrix Theory
Internal Research Grant
CONTINUOUS-TIME MEAN-VARIANCE OPTIMIZATION for DEFINED CONTRIBUTION PENSION FUNDS with REG..
Optimal periodic dividend and capital injection problem for spectrally positive Levy proce..
Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-..
Displaying the most recent project by Ping Chen.
Displaying the 18 most recent scholarly works by Ping Chen.
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..
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
H Yao, P Chen, X Li
Journal article | 2016 | Insurance: Mathematics and Economics
Using mean–variance criterion, we investigate a multi-period defined contribution pension fund investment problem in a Markovian r..
Senior Lecturer In Actuarial Studies
Doctor of Philosophy
No Data Found - ValueSetID  FlexValue  ParentLow [Hong Kong]
Master of Probability and Mathematical Statistics
Chinese Academy of Sciences
Bachelor of Mathematics and Applied Mathematics