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Ping Chen
Ping Chen
Verified email at unimelb.edu.au - Homepage
Title
Cited by
Cited by
Year
Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model
P Chen, H Yang, G Yin
Insurance: Mathematics and Economics 43 (3), 456-465, 2008
1632008
Markowitz's mean-variance asset–liability management with regime switching: A multi-period model
P Chen, H Yang
Applied Mathematical Finance 18 (1), 29-50, 2011
862011
Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model
H Yao, Z Yang, P Chen
Insurance: Mathematics and Economics 53 (3), 851-863, 2013
802013
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Y Zhao, P Chen, H Yang
Insurance: Mathematics and Economics 74, 135-146, 2017
612017
Mean–variance asset–liability management under constant elasticity of variance process
M Zhang, P Chen
Insurance: Mathematics and Economics 70, 11-18, 2016
442016
Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers
P Chen, SCP Yam
Insurance: Mathematics and Economics 53 (3), 871-883, 2013
422013
Optimal dividends and capital injections in the dual model with a random time horizon
Y Zhao, R Wang, D Yao, P Chen
Journal of Optimization Theory and Applications 167, 272-295, 2015
332015
Optimal reinsurance under dynamic VaR constraint
N Zhang, Z Jin, S Li, P Chen
Insurance: Mathematics and Economics 71, 232-243, 2016
272016
Direct approach to quantum extensions of Fisher information
P Chen, S Luo
Frontiers of Mathematics in China 2 (3), 359-381, 2007
232007
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
H Yao, P Chen, X Li
Insurance: Mathematics and Economics 71, 103-113, 2016
202016
Generalized expected discounted penalty function at general drawdown for Lévy risk processes
W Wang, P Chen, S Li
Insurance: Mathematics and Economics 91, 12-25, 2020
192020
Mean-variance portfolio selection with only risky assets under regime switching
M Zhang, P Chen, H Yao
Economic Modelling 62, 35-42, 2017
142017
Open-loop equilibrium strategy for mean–variance asset–liability management portfolio selection problem with debt ratio
J Zhang, P Chen, Z Jin, S Li
Journal of Computational and Applied Mathematics 380, 112951, 2020
122020
Dividend and capital injection optimization with transaction cost for Lévy risk processes
W Wang, Y Wang, P Chen, X Wu
Journal of Optimization Theory and Applications 194 (3), 924-965, 2022
102022
Clocks and Fisher information
P Chen, S Luo
Theoretical and Mathematical Physics 165 (2), 1552-1564, 2010
102010
On the dual risk model with diffusion under a mixed dividend strategy
Z Liu, P Chen, Y Hu
Applied Mathematics and Computation 376, 125115, 2020
92020
Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities
P Chen, H Yang
Applied Stochastic Models in Business and Industry 26 (2), 125-141, 2010
92010
Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
H Yao, P Chen, M Zhang, X Li
Journal of Industrial and Management Optimization 18 (1), 511-540, 2022
82022
Mean–variance portfolio selection with regime switching under shorting prohibition
M Zhang, P Chen
Operations Research Letters 44 (5), 658-662, 2016
82016
MARKOWITZ'S MEAN-VARIANCE OPTIMIZATION WITH INVESTMENT AND CONSTRAINED REINSURANCE.
N Zhang, P Chen, Z Jin, S Li
Journal of Industrial & Management Optimization 13 (1), 2017
72017
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