Dong, Yinghui; Wei, Siyuan; Lv, Wenxin; Yin, Zihan Optimal investment of DC pension plan under loss aversion and LEL constraint. (Chinese. English summary) Zbl 07801520 Acta Math. Appl. Sin. 46, No. 2, 291-312 (2023). MSC: 90C46 49L20 PDFBibTeX XMLCite \textit{Y. Dong} et al., Acta Math. Appl. Sin. 46, No. 2, 291--312 (2023; Zbl 07801520) Full Text: Link
Agarwal, Ankush; Ewald, Christian-Oliver; Wang, Yongjie Hedging longevity risk in defined contribution pension schemes. (English) Zbl 07778014 Comput. Manag. Sci. 20, Paper No. 11, 34 p. (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{A. Agarwal} et al., Comput. Manag. Sci. 20, Paper No. 11, 34 p. (2023; Zbl 07778014) Full Text: DOI arXiv
Meng, Jun; Wang, Ming-hui; Yang, Ben-zhang; Huang, Nan-jing A stochastic goodwill model depending on quality level and advertising. (English) Zbl 1523.90045 Optimization 72, No. 10, 2463-2497 (2023). MSC: 90B06 90B60 91A12 91A65 93E20 PDFBibTeX XMLCite \textit{J. Meng} et al., Optimization 72, No. 10, 2463--2497 (2023; Zbl 1523.90045) Full Text: DOI
Yuan, Yu; Han, Xia; Liang, Zhibin; Yuen, Kam Chuen Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework. (English) Zbl 07737888 Eur. J. Oper. Res. 311, No. 2, 581-595 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{Y. Yuan} et al., Eur. J. Oper. Res. 311, No. 2, 581--595 (2023; Zbl 07737888) Full Text: DOI
Gu, Ailing; He, Xinya; Chen, Shumin; Yao, Haixiang Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity. (English) Zbl 1517.91201 Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 77, 19 p. (2023). MSC: 91G10 90C39 91G05 PDFBibTeX XMLCite \textit{A. Gu} et al., Methodol. Comput. Appl. Probab. 25, No. 3, Paper No. 77, 19 p. (2023; Zbl 1517.91201) Full Text: DOI
Bi, Junna; Li, Danping Behavioral mean-risk portfolio selection in continuous time via quantile. (English) Zbl 07710574 Commun. Stat., Theory Methods 52, No. 14, 4904-4933 (2023). MSC: 90C39 91B30 91G80 PDFBibTeX XMLCite \textit{J. Bi} and \textit{D. Li}, Commun. Stat., Theory Methods 52, No. 14, 4904--4933 (2023; Zbl 07710574) Full Text: DOI
Wang, Ling; Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying Optimal expansion of business opportunity. (English) Zbl 07709318 Eur. J. Oper. Res. 309, No. 1, 432-445 (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{L. Wang} et al., Eur. J. Oper. Res. 309, No. 1, 432--445 (2023; Zbl 07709318) Full Text: DOI arXiv
Park, Kyunghyun; Wong, Hoi Ying; Yan, Tingjin Robust retirement and life insurance with inflation risk and model ambiguity. (English) Zbl 1517.91193 Insur. Math. Econ. 110, 1-30 (2023). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 90C17 PDFBibTeX XMLCite \textit{K. Park} et al., Insur. Math. Econ. 110, 1--30 (2023; Zbl 1517.91193) Full Text: DOI
Chuluunbaatar, Ankhbayar; Rentsen, Enkhbat Solving a fractional programming problem in a commercial bank. (English) Zbl 1513.90190 J. Ind. Manag. Optim. 18, No. 6, 4183-4190 (2022). MSC: 90C32 90C26 91B05 PDFBibTeX XMLCite \textit{A. Chuluunbaatar} and \textit{E. Rentsen}, J. Ind. Manag. Optim. 18, No. 6, 4183--4190 (2022; Zbl 1513.90190) Full Text: DOI
Zhang, Liming; Wang, Rongming; Wei, Jiaqin Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints. (English) Zbl 1513.90111 J. Ind. Manag. Optim. 18, No. 6, 3897-3927 (2022). MSC: 90B50 93E20 91G80 PDFBibTeX XMLCite \textit{L. Zhang} et al., J. Ind. Manag. Optim. 18, No. 6, 3897--3927 (2022; Zbl 1513.90111) Full Text: DOI
Wang, Pei; Zhang, Ling; Li, Zhongfei Asset allocation for a DC pension plan with learning about stock return predictability. (English) Zbl 1513.90105 J. Ind. Manag. Optim. 18, No. 6, 3847-3877 (2022). MSC: 90B50 90C39 91G10 PDFBibTeX XMLCite \textit{P. Wang} et al., J. Ind. Manag. Optim. 18, No. 6, 3847--3877 (2022; Zbl 1513.90105) Full Text: DOI
Zhang, Xiaoyi Optimal DC pension management under inflation risk with jump diffusion price index and cost of living process. (English) Zbl 1489.91228 Methodol. Comput. Appl. Probab. 24, No. 2, 1253-1270 (2022). MSC: 91G05 91G10 49N90 90C39 PDFBibTeX XMLCite \textit{X. Zhang}, Methodol. Comput. Appl. Probab. 24, No. 2, 1253--1270 (2022; Zbl 1489.91228) Full Text: DOI
Baltas, I.; Dopierala, L.; Kolodziejczyk, K.; Szczepański, M.; Weber, G.-W.; Yannacopoulos, A. N. Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty. (English) Zbl 1490.91181 Eur. J. Oper. Res. 298, No. 3, 1162-1174 (2022). MSC: 91G10 90C39 93E20 PDFBibTeX XMLCite \textit{I. Baltas} et al., Eur. J. Oper. Res. 298, No. 3, 1162--1174 (2022; Zbl 1490.91181) Full Text: DOI
Han, Xia; Liang, Zhibin; Yuen, Kam Chuen; Yuan, Yu Minimizing the probability of absolute ruin under ambiguity aversion. (English) Zbl 1476.62223 Appl. Math. Optim. 84, No. 3, 2495-2525 (2021). MSC: 62P05 62G35 60J70 90C39 91B05 93E20 PDFBibTeX XMLCite \textit{X. Han} et al., Appl. Math. Optim. 84, No. 3, 2495--2525 (2021; Zbl 1476.62223) Full Text: DOI
Zhang, Peng; Zeng, Yongquan; Chi, Guotai Time-consistent multiperiod mean semivariance portfolio selection with the real constraints. (English) Zbl 1476.91164 J. Ind. Manag. Optim. 17, No. 4, 1663-1680 (2021). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{P. Zhang} et al., J. Ind. Manag. Optim. 17, No. 4, 1663--1680 (2021; Zbl 1476.91164) Full Text: DOI
Wang, Liyuan; Chen, Zhiping; Yang, Peng Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion. (English) Zbl 1476.90163 J. Ind. Manag. Optim. 17, No. 3, 1203-1233 (2021). MSC: 90B50 93E20 91G80 91A10 PDFBibTeX XMLCite \textit{L. Wang} et al., J. Ind. Manag. Optim. 17, No. 3, 1203--1233 (2021; Zbl 1476.90163) Full Text: DOI
Zhou, Zhongbao; Bai, Yanfei; Xiao, Helu; Chen, Xu A non-zero-sum reinsurance-investment game with delay and asymmetric information. (English) Zbl 1474.90236 J. Ind. Manag. Optim. 17, No. 2, 909-936 (2021). MSC: 90B50 91B05 91G80 91A23 93E20 91A10 90C30 PDFBibTeX XMLCite \textit{Z. Zhou} et al., J. Ind. Manag. Optim. 17, No. 2, 909--936 (2021; Zbl 1474.90236) Full Text: DOI
Wu, Huiling; Wang, Xiuguo; Liu, Yuanyuan; Zeng, Li Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan. (English) Zbl 1476.91160 J. Ind. Manag. Optim. 16, No. 6, 2857-2890 (2020). MSC: 91G10 91G80 90C90 PDFBibTeX XMLCite \textit{H. Wu} et al., J. Ind. Manag. Optim. 16, No. 6, 2857--2890 (2020; Zbl 1476.91160) Full Text: DOI
Vigna, Elena On time consistency for mean-variance portfolio selection. (English) Zbl 1457.91352 Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050042, 22 p. (2020). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{E. Vigna}, Int. J. Theor. Appl. Finance 23, No. 6, Article ID 2050042, 22 p. (2020; Zbl 1457.91352) 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
Chen, Zhiping; Yang, Peng Robust optimal reinsurance-investment strategy with price jumps and correlated claims. (English) Zbl 1445.91051 Insur. Math. Econ. 92, 27-46 (2020). MSC: 91G05 62P05 91G10 90C15 90C39 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{P. Yang}, Insur. Math. Econ. 92, 27--46 (2020; Zbl 1445.91051) Full Text: DOI
Sheng, De-Lei; Shen, Peilong Portfolio optimization with asset-liability ratio regulation constraints. (English) Zbl 1435.91173 Complexity 2020, Article ID 1435356, 13 p. (2020). MSC: 91G10 90C15 93E20 PDFBibTeX XMLCite \textit{D.-L. Sheng} and \textit{P. Shen}, Complexity 2020, Article ID 1435356, 13 p. (2020; Zbl 1435.91173) Full Text: DOI
Wei, Jiaqin; Li, Danping; Zeng, Yan Robust optimal consumption-investment strategy with non-exponential discounting. (English) Zbl 1438.90188 J. Ind. Manag. Optim. 16, No. 1, 207-230 (2020). MSC: 90B50 93E20 91G80 PDFBibTeX XMLCite \textit{J. Wei} et al., J. Ind. Manag. Optim. 16, No. 1, 207--230 (2020; Zbl 1438.90188) Full Text: DOI
Xu, Jun; Dang, Chao A novel fractional moments-based maximum entropy method for high-dimensional reliability analysis. (English) Zbl 1481.62101 Appl. Math. Modelling 75, 749-768 (2019). MSC: 62N05 90B25 PDFBibTeX XMLCite \textit{J. Xu} and \textit{C. Dang}, Appl. Math. Modelling 75, 749--768 (2019; Zbl 1481.62101) Full Text: DOI
Keykhaei, Reza Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market. (English) Zbl 1461.90163 RAIRO, Oper. Res. 53, No. 4, 1171-1186 (2019). MSC: 90C39 91G10 PDFBibTeX XMLCite \textit{R. Keykhaei}, RAIRO, Oper. Res. 53, No. 4, 1171--1186 (2019; Zbl 1461.90163) Full Text: DOI
Zhang, Peng Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection. (English) Zbl 1438.91139 J. Ind. Manag. Optim. 15, No. 2, 537-564 (2019). MSC: 91G10 90C15 90C39 PDFBibTeX XMLCite \textit{P. Zhang}, J. Ind. Manag. Optim. 15, No. 2, 537--564 (2019; Zbl 1438.91139) Full Text: DOI
Yang, Yehong; Cao, Guohua Optimal financing and dividend strategies with time inconsistency in a regime switching economy. (English) Zbl 1417.90090 Complexity 2019, Article ID 8479503, 11 p. (2019). MSC: 90B50 91B64 PDFBibTeX XMLCite \textit{Y. Yang} and \textit{G. Cao}, Complexity 2019, Article ID 8479503, 11 p. (2019; Zbl 1417.90090) Full Text: DOI
Lin, Chuangwei; Zeng, Li; Wu, Huiling Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase. (English) Zbl 1415.91267 J. Ind. Manag. Optim. 15, No. 1, 401-427 (2019). MSC: 91G10 91G80 90C90 PDFBibTeX XMLCite \textit{C. Lin} et al., J. Ind. Manag. Optim. 15, No. 1, 401--427 (2019; Zbl 1415.91267) Full Text: DOI
Li, Danping; Young, Virginia R. Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (English) Zbl 1410.91274 Insur. Math. Econ. 87, 143-152 (2019). MSC: 91B30 90C15 35Q91 PDFBibTeX XMLCite \textit{D. Li} and \textit{V. R. Young}, Insur. Math. Econ. 87, 143--152 (2019; Zbl 1410.91274) Full Text: DOI
Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection. (English) Zbl 1431.91357 Eur. J. Oper. Res. 276, No. 2, 781-789 (2019). MSC: 91G10 90C90 91G70 PDFBibTeX XMLCite \textit{X. Cui} et al., Eur. J. Oper. Res. 276, No. 2, 781--789 (2019; Zbl 1431.91357) Full Text: DOI
Guo, Chang; Zhuo, Xiaoyang; Constantinescu, Corina; Pamen, Olivier Menoukeu Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation. (English) Zbl 1411.91281 Methodol. Comput. Appl. Probab. 20, No. 4, 1477-1502 (2018). MSC: 91B30 49L20 90C39 91G80 91G30 PDFBibTeX XMLCite \textit{C. Guo} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1477--1502 (2018; Zbl 1411.91281) Full Text: DOI
Wu, Xianping; Li, Xun; Li, Zhongfei A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints. (English) Zbl 1412.90099 J. Ind. Manag. Optim. 14, No. 1, 249-265 (2018). MSC: 90C15 91B30 PDFBibTeX XMLCite \textit{X. Wu} et al., J. Ind. Manag. Optim. 14, No. 1, 249--265 (2018; Zbl 1412.90099) Full Text: DOI
Zhang, Yuanyuan; Li, Xiang; Guo, Sini Portfolio selection problems with Markowitz’s mean-variance framework: a review of literature. (English) Zbl 1429.91299 Fuzzy Optim. Decis. Mak. 17, No. 2, 125-158 (2018). MSC: 91G10 90C70 PDFBibTeX XMLCite \textit{Y. Zhang} et al., Fuzzy Optim. Decis. Mak. 17, No. 2, 125--158 (2018; Zbl 1429.91299) Full Text: DOI
Li, Danping; Zeng, Yan; Yang, Hailiang Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. (English) Zbl 1416.91203 Scand. Actuar. J. 2018, No. 2, 145-171 (2018). MSC: 91B30 60J75 90C39 90C15 PDFBibTeX XMLCite \textit{D. Li} et al., Scand. Actuar. J. 2018, No. 2, 145--171 (2018; Zbl 1416.91203) Full Text: DOI
Shen, Yang; Sherris, Michael Lifetime asset allocation with idiosyncratic and systematic mortality risks. (English) Zbl 1416.91221 Scand. Actuar. J. 2018, No. 4, 294-327 (2018). MSC: 91B30 90C39 PDFBibTeX XMLCite \textit{Y. Shen} and \textit{M. Sherris}, Scand. Actuar. J. 2018, No. 4, 294--327 (2018; Zbl 1416.91221) Full Text: DOI
Bian, Lihua; Li, Zhongfei; Yao, Haixiang Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (English) Zbl 1416.91159 Insur. Math. Econ. 81, 78-94 (2018). MSC: 91B30 60J20 90C39 91G10 PDFBibTeX XMLCite \textit{L. Bian} et al., Insur. Math. Econ. 81, 78--94 (2018; Zbl 1416.91159) Full Text: DOI
Gu, Ailing; Viens, Frederi G.; Yao, Haixiang Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing. (English) Zbl 1402.91196 Insur. Math. Econ. 80, 93-109 (2018). MSC: 91B30 90C39 91G10 93E20 PDFBibTeX XMLCite \textit{A. Gu} et al., Insur. Math. Econ. 80, 93--109 (2018; Zbl 1402.91196) Full Text: DOI
Wang, Pei; Li, Zhongfei Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility. (English) Zbl 1402.91217 Insur. Math. Econ. 80, 67-83 (2018). MSC: 91B30 90C15 90C39 91G10 91G30 PDFBibTeX XMLCite \textit{P. Wang} and \textit{Z. Li}, Insur. Math. Econ. 80, 67--83 (2018; Zbl 1402.91217) Full Text: DOI
Pistorius, Martijn; Stadje, Mitja On dynamic deviation measures and continuous-time portfolio optimization. (English) Zbl 1382.60089 Ann. Appl. Probab. 27, No. 6, 3342-3384 (2017). MSC: 60H30 90C46 91G10 91A10 91B70 91G70 PDFBibTeX XMLCite \textit{M. Pistorius} and \textit{M. Stadje}, Ann. Appl. Probab. 27, No. 6, 3342--3384 (2017; Zbl 1382.60089) Full Text: DOI arXiv Euclid
Pan, Jian; Xiao, Qingxian Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks. (English) Zbl 1411.91524 Math. Methods Oper. Res. 85, No. 3, 491-519 (2017). MSC: 91G10 91G30 90C39 PDFBibTeX XMLCite \textit{J. Pan} and \textit{Q. Xiao}, Math. Methods Oper. Res. 85, No. 3, 491--519 (2017; Zbl 1411.91524) 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
Meng, Xiangbo; Rong, Ximin; Zhang, Lidong; Du, Ziping Worst-case investment and reinsurance optimization for an insurer under model uncertainty. (English) Zbl 1405.91264 Discrete Dyn. Nat. Soc. 2016, Article ID 9693419, 8 p. (2016). MSC: 91B30 60J70 90C39 PDFBibTeX XMLCite \textit{X. Meng} et al., Discrete Dyn. Nat. Soc. 2016, Article ID 9693419, 8 p. (2016; Zbl 1405.91264) Full Text: DOI
Tian, Ye; Fang, Shucherng; Deng, Zhibin; Jin, Qingwei Cardinality constrained portfolio selection problem: a completely positive programming approach. (English) Zbl 1328.90116 J. Ind. Manag. Optim. 12, No. 3, 1041-1056 (2016). MSC: 90C26 90C59 90C22 30E10 PDFBibTeX XMLCite \textit{Y. Tian} et al., J. Ind. Manag. Optim. 12, No. 3, 1041--1056 (2016; Zbl 1328.90116) Full Text: DOI
Yao, Haixiang; Li, Zhongfei; Lai, Yongzeng Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate. (English) Zbl 1317.90248 J. Ind. Manag. Optim. 12, No. 1, 187-209 (2016). MSC: 90C26 91G10 91G80 49N15 PDFBibTeX XMLCite \textit{H. Yao} et al., J. Ind. Manag. Optim. 12, No. 1, 187--209 (2016; Zbl 1317.90248) Full Text: DOI
Yin, Libo; Han, Liyan Risk management for international portfolios with basket options: A multi-stage stochastic programming approach. (English) Zbl 1332.93386 J. Syst. Sci. Complex. 28, No. 6, 1279-1306 (2015). MSC: 93E20 90C15 91G10 PDFBibTeX XMLCite \textit{L. Yin} and \textit{L. Han}, J. Syst. Sci. Complex. 28, No. 6, 1279--1306 (2015; Zbl 1332.93386) Full Text: DOI
Huang, Yonghui; Guo, Xianping Mean-variance problems for finite horizon semi-Markov decision processes. (English) Zbl 1343.93100 Appl. Math. Optim. 72, No. 2, 233-259 (2015). MSC: 93E20 93C55 49J55 49K45 90C40 49L20 90C39 90C05 PDFBibTeX XMLCite \textit{Y. Huang} and \textit{X. Guo}, Appl. Math. Optim. 72, No. 2, 233--259 (2015; Zbl 1343.93100) Full Text: DOI
A, Chunxiang; Li, Zhongfei Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model. (English) Zbl 1314.91128 Insur. Math. Econ. 61, 181-196 (2015). MSC: 91B30 60H30 90C90 PDFBibTeX XMLCite \textit{C. A} and \textit{Z. Li}, Insur. Math. Econ. 61, 181--196 (2015; Zbl 1314.91128) Full Text: DOI
Ma, Hui-qiang Continuous-time mean-variance portfolio selection under the CEV process. (English) Zbl 1406.91419 Abstr. Appl. Anal. 2014, Article ID 363046, 14 p. (2014). MSC: 91G10 90C25 93E20 PDFBibTeX XMLCite \textit{H.-q. Ma}, Abstr. Appl. Anal. 2014, Article ID 363046, 14 p. (2014; Zbl 1406.91419) Full Text: DOI
Chang, Hao; Chang, Kai; Lu, Ji-mei Portfolio selection with liability and affine interest rate in the HARA utility framework. (English) Zbl 1406.91404 Abstr. Appl. Anal. 2014, Article ID 312640, 12 p. (2014). MSC: 91G10 91G30 91B16 90C39 PDFBibTeX XMLCite \textit{H. Chang} et al., Abstr. Appl. Anal. 2014, Article ID 312640, 12 p. (2014; Zbl 1406.91404) Full Text: DOI
Gu, Ailing; Yi, Bo; Ye, Dezhu Optimal investment and reinsurance for insurers with uncertain time-horizon. (English) Zbl 1407.91137 Math. Probl. Eng. 2014, Article ID 271930, 10 p. (2014). MSC: 91B30 90C39 93E20 PDFBibTeX XMLCite \textit{A. Gu} et al., Math. Probl. Eng. 2014, Article ID 271930, 10 p. (2014; Zbl 1407.91137) Full Text: DOI
Guan, Guohui; Liang, Zongxia Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework. (English) Zbl 1304.91193 Insur. Math. Econ. 57, 58-66 (2014). MSC: 91G10 91G30 93E20 90C15 90C39 91B70 PDFBibTeX XMLCite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 57, 58--66 (2014; Zbl 1304.91193) Full Text: DOI
Xu, Lin; Wang, Rongming; Yao, Dingjun Optimal stochastic investment games under Markov regime switching market. (English) Zbl 1282.91314 J. Ind. Manag. Optim. 10, No. 3, 795-815 (2014). MSC: 91G10 91G80 60J20 90B50 91A23 91A15 PDFBibTeX XMLCite \textit{L. Xu} et al., J. Ind. Manag. Optim. 10, No. 3, 795--815 (2014; Zbl 1282.91314) Full Text: DOI
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (English) Zbl 1290.91103 Insur. Math. Econ. 53, No. 3, 601-614 (2013). MSC: 91B30 91B70 91G30 60J65 90C15 PDFBibTeX XMLCite \textit{B. Yi} et al., Insur. Math. Econ. 53, No. 3, 601--614 (2013; Zbl 1290.91103) Full Text: DOI
Li, Chanjuan; Li, Zhongfei Multi-period portfolio optimization for asset-liability management with bankrupt control. (English) Zbl 1279.91146 Appl. Math. Comput. 218, No. 22, 11196-11208 (2012). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{C. Li} and \textit{Z. Li}, Appl. Math. Comput. 218, No. 22, 11196--11208 (2012; Zbl 1279.91146) Full Text: DOI