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..

Optimal periodic dividend and capital injection problem for spectrally positive Levy processes

Yongxia Zhao, Ping Chen, Hailiang Yang

Journal article  |  2017  |  Insurance: Mathematics and Economics

Mean-variance portfolio selection with only risky assets under regime switching

Miao Zhang, Ping Chena, Haixiang Yao

Journal article  |  2017  |  Economic Modelling

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

P Chen, H Yao

Journal article  |  2017  |  Journal of Industrial & Management Optimization

MARKOWITZ'S MEAN-VARIANCE OPTIMIZATION WITH INVESTMENT AND CONSTRAINED REINSURANCE

Nan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2017  |  Journal of Industrial and Management Optimization

Optimal reinsurance under dynamic VaR constraint

Nan Zhang, Zhuo Jin, Shuanming Li, Ping Chen

Journal article  |  2016  |  Insurance: Mathematics and Economics

This paper deals with the optimal reinsurance strategy from an insurer’s point of view. Our objective is to find the optimal polic..

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..

Mean-variance asset-liability management under constant elasticity of variance process

Miao Zhang, Ping Chen

Journal article  |  2016  |  Insurance: Mathematics and Economics

Mean-variance portfolio selection with regime switching under shorting prohibition

Miao Zhang, Ping Chen

Journal article  |  2016  |  Operations Research Letters

Optimal Dividends and Capital Injections in the Dual Model with a Random Time Horizon

Yongxia Zhao, Rongming Wang, Dingjun Yao, Ping Chen

Journal article  |  2015  |  Journal of Optimization Theory and Applications

Markowitz's mean-variance defined contribution pension fund management under inflation: A continuous-time model

Haixiang Yao, Zhou Yang, Ping Chen

Journal article  |  2013  |  Insurance: Mathematics & Economics

Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers

Ping Chen, SCP Yam

Journal article  |  2013  |  Insurance: Mathematics & Economics

Markowitz's mean-variance asset-liability management with regime switching: A multi-period model

P Chen, H Yang

Journal article  |  2011  |  Applied Mathematical Finance

Clocks and fisher information

Ping Chen, Shunlong Luo

Journal article  |  2010  |  Theoretical and Mathematical Physics

Pension funding problem with regime-switching geometric Brownian motion assets and liabilities

P Chen

Journal article  |  2010  |  Applied Stochastic Models in Business and Industry

Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model

P Chen, H Yang, G Yin

Journal article  |  2008  |  Insurance: Mathematics and Economics

Direct approach to quantum extensions of Fisher information

P Chen, S Luo

Journal article  |  2007  |  Frontiers of Mathematics in China