Ping Chen

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

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 & Management Optimization

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

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

Zhang Liu, Ping Chen

Journal article  |  2021  |  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..

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..

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 & 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..

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