Ping Chen

A class of non-zero-sum stochastic differential games between two mean-variance insurers under stochastic volatility

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Journal article  |  2022  |  PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES

This paper studies the open-loop equilibrium strategies for a class of non-zero-sum reinsurance–investment stochastic differential..

Dividend and Capital Injection Optimization with Transaction Cost for Levy Risk Processes

Wenyuan Wang, Yuebao Wang, Ping Chen, Xueyuan Wu

Journal article  |  2022  |  JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

The optimal dividends problem has remained an active research field for decades. For an insurance company with reserve modelled by..

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..

Risk modelling on liquidations with Levy processes

Aili Zhang, Ping Chen, Shuanming Li, Wenyuan Wang

Journal article  |  2022  |  APPLIED MATHEMATICS AND COMPUTATION

EQUILIBRIUM PERIODIC DIVIDEND STRATEGIES WITH NON-EXPONENTIAL DISCOUNTING FOR SPECTRALLY POSITIVE LEVY PROCESSES

Wei Zhong, Yongxia Zhao, Ping 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..

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..

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 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..

DYNAMIC DISCRETE-TIME PORTFOLIO SELECTION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH INFLATION RISK

Haixiang Yao, Ping Chen, Miao Zhang, Xun Li

Journal article  |  2020  |  JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION

This paper investigates a multi-period asset allocation problem for a defined contribution (DC) pension fund facing stochastic inf..