Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan Optimal investment and reinsurance strategies under 4/2 stochastic volatility model. (English) Zbl 1521.91322 Scand. Actuar. J. 2023, No. 5, 413-449 (2023). Reviewer: Tak Kuen Siu (Sydney) MSC: 91G05 35Q91 PDFBibTeX XMLCite \textit{W. Wang} et al., Scand. Actuar. J. 2023, No. 5, 413--449 (2023; Zbl 1521.91322) Full Text: DOI
Chunxiang, A.; Shen, Yang; Zeng, Yan Dynamic asset-liability management problem in a continuous-time model with delay. (English) Zbl 1492.91352 Int. J. Control 95, No. 5, 1315-1336 (2022). MSC: 91G15 34K50 PDFBibTeX XMLCite \textit{A. Chunxiang} et al., Int. J. Control 95, No. 5, 1315--1336 (2022; Zbl 1492.91352) Full Text: DOI
Wang, Pei; Shen, Yang; Zhang, Ling; Kang, Yuxin Equilibrium investment strategy for a DC pension plan with learning about stock return predictability. (English) Zbl 1471.91486 Insur. Math. Econ. 100, 384-407 (2021). MSC: 91G05 91A80 PDFBibTeX XMLCite \textit{P. Wang} et al., Insur. Math. Econ. 100, 384--407 (2021; Zbl 1471.91486) Full Text: DOI
Shen, Yang; Zou, Bin Mean-variance investment and risk control strategies – a time-consistent approach via a forward auxiliary process. (English) Zbl 1460.91239 Insur. Math. Econ. 97, 68-80 (2021). MSC: 91G05 91A80 93E20 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{B. Zou}, Insur. Math. Econ. 97, 68--80 (2021; Zbl 1460.91239) Full Text: DOI arXiv
Li, Danping; Li, Bin; Shen, Yang A dynamic pricing game for general insurance market. (English) Zbl 1457.91332 J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021). MSC: 91G05 91A25 91A80 PDFBibTeX XMLCite \textit{D. Li} et al., J. Comput. Appl. Math. 389, Article ID 113349, 17 p. (2021; Zbl 1457.91332) Full Text: DOI
Chen, Lv; Shen, Yang; Su, Jianxi A continuous-time theory of reinsurance chains. (English) Zbl 1452.91266 Insur. Math. Econ. 95, 129-146 (2020). MSC: 91G05 91A65 91A80 91G45 PDFBibTeX XMLCite \textit{L. Chen} et al., Insur. Math. Econ. 95, 129--146 (2020; Zbl 1452.91266) Full Text: DOI
Gu, Ailing; Viens, Frederi G.; Shen, Yang Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. (English) Zbl 1447.91139 Scand. Actuar. J. 2020, No. 4, 342-375 (2020). MSC: 91G05 91B43 90C39 PDFBibTeX XMLCite \textit{A. Gu} et al., Scand. Actuar. J. 2020, No. 4, 342--375 (2020; Zbl 1447.91139) Full Text: DOI
Zhang, Xin; Meng, Hui; Xiong, Jie; Shen, Yang Robust optimal investment and reinsurance of an insurer under jump-diffusion models. (English) Zbl 1426.91237 Math. Control Relat. Fields 9, No. 1, 59-76 (2019). MSC: 91G05 91G80 93E20 93B35 91A15 91A23 60J75 60G50 PDFBibTeX XMLCite \textit{X. Zhang} et al., Math. Control Relat. Fields 9, No. 1, 59--76 (2019; Zbl 1426.91237) Full Text: DOI
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, Wenjun Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. (English) Zbl 1425.91238 Insur. Math. Econ. 88, 159-180 (2019). MSC: 91B30 91G40 91A80 PDFBibTeX XMLCite \textit{H. Zhao} et al., Insur. Math. Econ. 88, 159--180 (2019; Zbl 1425.91238) Full Text: DOI
Chen, Lv; Shen, Yang Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework. (English) Zbl 1425.91217 Insur. Math. Econ. 88, 120-137 (2019). MSC: 91B30 91A15 91A65 93E20 91A23 91A05 PDFBibTeX XMLCite \textit{L. Chen} and \textit{Y. Shen}, Insur. Math. Econ. 88, 120--137 (2019; Zbl 1425.91217) Full Text: DOI
Chen, Lv; Shen, Yang On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer. (English) Zbl 1390.91170 ASTIN Bull. 48, No. 2, 905-960 (2018). MSC: 91B30 91A15 93E20 PDFBibTeX XMLCite \textit{L. Chen} and \textit{Y. Shen}, ASTIN Bull. 48, No. 2, 905--960 (2018; Zbl 1390.91170) Full Text: DOI
Li, Danping; Shen, Yang; Zeng, Yan Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility. (English) Zbl 1398.91339 Insur. Math. Econ. 78, 72-86 (2018). MSC: 91B30 60H10 91G20 PDFBibTeX XMLCite \textit{D. Li} et al., Insur. Math. Econ. 78, 72--86 (2018; Zbl 1398.91339) Full Text: DOI
Zhao, Hui; Weng, ChengGuo; Shen, Yang; Zeng, Yan Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. (English) Zbl 1367.60088 Sci. China, Math. 60, No. 2, 317-344 (2017). MSC: 60H30 60H10 91B30 91G80 90C39 PDFBibTeX XMLCite \textit{H. Zhao} et al., Sci. China, Math. 60, No. 2, 317--344 (2017; Zbl 1367.60088) Full Text: DOI
Chen, Lv; Qian, Linyi; Shen, Yang; Wang, Wei Constrained investment-reinsurance optimization with regime switching under variance premium principle. (English) Zbl 1371.91083 Insur. Math. Econ. 71, 253-267 (2016). MSC: 91B30 93E20 91G10 PDFBibTeX XMLCite \textit{L. Chen} et al., Insur. Math. Econ. 71, 253--267 (2016; Zbl 1371.91083) Full Text: DOI
Zhao, Hui; Shen, Yang; Zeng, Yan Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security. (English) Zbl 1331.91105 J. Math. Anal. Appl. 437, No. 2, 1036-1057 (2016). MSC: 91B30 91G10 93E20 PDFBibTeX XMLCite \textit{H. Zhao} et al., J. Math. Anal. Appl. 437, No. 2, 1036--1057 (2016; Zbl 1331.91105) Full Text: DOI
Shen, Yang; Zeng, Yan Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. (English) Zbl 1318.91123 Insur. Math. Econ. 62, 118-137 (2015). MSC: 91B30 91G10 60H30 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{Y. Zeng}, Insur. Math. Econ. 62, 118--137 (2015; Zbl 1318.91123) Full Text: DOI
Shen, Yang; Zeng, Yan Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach. (English) Zbl 1304.91132 Insur. Math. Econ. 57, 1-12 (2014). MSC: 91B30 91G10 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{Y. Zeng}, Insur. Math. Econ. 57, 1--12 (2014; Zbl 1304.91132) Full Text: DOI