Lin-Yi Qian

Available identifiers

List of research outcomes

Publication	Date of Publication	Type
Diagnostic tests before modeling longitudinal actuarial data	2024-02-13	Paper
Optimal investment strategy for an insurer with partial information in capital and insurance markets	2023-03-29	Paper
Optimal investment and consumption strategies for pooled annuity with partial information	2023-02-03	Paper
Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering	2022-10-26	Paper
Pricing and hedging equity-indexed annuities via local risk-minimization	2022-05-23	Paper
Modelling the aggregate loss for insurance claims with dependence	2022-05-23	Paper
Tontines with mixed cohorts	2021-07-21	Paper
Optimal stop-loss reinsurance with joint utility constraints	2021-06-09	Paper
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints	2021-03-17	Paper
Reinsurance-investment game between two mean-variance insurers under model uncertainty	2020-08-28	Paper
Stochastic differential reinsurance games with capital injections	2019-09-19	Paper
Valuation of risk-based premium of DB pension plan with terminations	2019-05-23	Paper
Robust non-zero-sum investment and reinsurance game with default risk	2019-01-15	Paper
Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer	2018-06-13	Paper
Pricing dynamic fund protections for a hyperexponential jump diffusion process	2018-04-27	Paper
Constrained investment-reinsurance optimization with regime switching under variance premium principle	2016-12-14	Paper
Local risk minimization for vulnerable European contingent claims on nontradable assets under regime switching models	2016-08-08	Paper
Hedging of contingent claims written on non traded assets under Markov-modulated models	2016-07-15	Paper
Pricing dynamic fund protections with regime switching	2015-12-14	Paper
Lookback option pricing for regime-switching jump diffusion models	2015-11-02	Paper
Static Hedging of Geometric Average Asian Options with Standard Options	2015-07-29	Paper
Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model	2015-05-06	Paper
Pricing and hedging catastrophe equity put options under a Markov-modulated jump diffusion model	2015-02-03	Paper
https://portal.mardi4nfdi.de/entity/Q2924605	2014-11-03	Paper
Valuation of Equity-indexed Annuities with Stochastic Interest Rate and Jump Diffusion	2014-10-14	Paper
https://portal.mardi4nfdi.de/entity/Q4980475	2014-06-30	Paper
https://portal.mardi4nfdi.de/entity/Q5398757	2014-02-28	Paper
Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model	2013-11-14	Paper
https://portal.mardi4nfdi.de/entity/Q4927811	2013-06-20	Paper
Weighted estimation of the dependence function for an extreme-value distribution	2013-05-30	Paper
Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model	2013-04-10	Paper
Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk	2013-01-28	Paper
Valuation of equity-indexed annuity under stochastic mortality and interest rate	2012-02-10	Paper
Variable selection in a class of single-index models	2011-12-14	Paper
https://portal.mardi4nfdi.de/entity/Q3641942	2009-11-11	Paper
https://portal.mardi4nfdi.de/entity/Q5318934	2009-07-22	Paper
https://portal.mardi4nfdi.de/entity/Q5435861	2008-01-14	Paper

Research outcomes over time

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