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Author ID: chen.ping Recent zbMATH articles by "Chen, Ping"
Published as: Chen, Ping
Homepage: https://fbe.unimelb.edu.au/our-people/staff/economics/ping-chen
External Links: ORCID · Google Scholar · ResearchGate

Publications by Year

Citations contained in zbMATH Open

23 Publications have been cited 311 times in 239 Documents Cited by Year
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
81
2008
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
35
2011
Markowitz’s mean-variance defined contribution pension fund management under inflation: a continuous-time model. Zbl 1290.91153
Yao, Haixiang; Yang, Zhou; Chen, Ping
30
2013
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243
Zhao, Yongxia; Chen, Ping; Yang, Hailiang
30
2017
Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers. Zbl 1290.91079
Chen, Ping; Yam, S. C. P.
24
2013
Mean-variance asset-liability management under constant elasticity of variance process. Zbl 1371.91173
Zhang, Miao; Chen, Ping
21
2016
Optimal dividends and capital injections in the dual model with a random time horizon. Zbl 1341.49021
Zhao, Yongxia; Wang, Rongming; Yao, Dingjun; Chen, Ping
15
2015
Optimal reinsurance under dynamic VaR constraint. Zbl 1371.91112
Zhang, Nan; Jin, Zhuo; Li, Shuanming; Chen, Ping
15
2016
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. Zbl 1371.91171
Yao, Haixiang; Chen, Ping; Li, Xun
8
2016
Direct approach to quantum extensions of Fisher information. Zbl 1145.81321
Chen, Ping; Luo, Shunlong
8
2007
Generalized expected discounted penalty function at general drawdown for Lévy risk processes. Zbl 1435.91162
Wang, Wenyuan; Chen, Ping; Li, Shuanming
6
2020
Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Zbl 1224.91050
Chen, Ping; Yang, Hailiang
5
2010
On the dual risk model with diffusion under a mixed dividend strategy. Zbl 1488.91096
Liu, Zhang; Chen, Ping; Hu, Yijun
5
2020
Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. Zbl 1499.91124
Yao, Haixiang; Chen, Ping; Zhang, Miao; Li, Xun
4
2022
Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio. Zbl 1443.91271
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming
4
2020
A mean-reverting currency model with floating interest rates in uncertain environment. Zbl 1438.91161
Wang, Weiwei; Chen, Ping
4
2019
Risk modelling on liquidations with Lévy processes. Zbl 1510.60033
Zhang, Aili; Chen, Ping; Li, Shuanming; Wang, Wenyuan
3
2022
Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model. Zbl 1474.90229
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming
3
2021
Mean-variance portfolio selection with regime switching under shorting prohibition. Zbl 1408.91206
Zhang, Miao; Chen, Ping
3
2016
Markowitz’s mean-variance optimization with investment and constrained reinsurance. Zbl 1364.91075
Zhang, Nan; Chen, Ping; Jin, Zhuo; Li, Shuanming
2
2017
On a class of non-zero-sum stochastic differential dividend games with regime switching. Zbl 1508.91030
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming
2
2021
Dividend and capital injection optimization with transaction cost for Lévy risk processes. Zbl 1494.49019
Wang, Wenyuan; Wang, Yuebao; Chen, Ping; Wu, Xueyuan
2
2022
Clocks and Fisher information. Zbl 1255.81097
Chen, Ping; Luo, Shunlong
1
2010
Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. Zbl 1499.91124
Yao, Haixiang; Chen, Ping; Zhang, Miao; Li, Xun
4
2022
Risk modelling on liquidations with Lévy processes. Zbl 1510.60033
Zhang, Aili; Chen, Ping; Li, Shuanming; Wang, Wenyuan
3
2022
Dividend and capital injection optimization with transaction cost for Lévy risk processes. Zbl 1494.49019
Wang, Wenyuan; Wang, Yuebao; Chen, Ping; Wu, Xueyuan
2
2022
Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model. Zbl 1474.90229
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming
3
2021
On a class of non-zero-sum stochastic differential dividend games with regime switching. Zbl 1508.91030
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming
2
2021
Generalized expected discounted penalty function at general drawdown for Lévy risk processes. Zbl 1435.91162
Wang, Wenyuan; Chen, Ping; Li, Shuanming
6
2020
On the dual risk model with diffusion under a mixed dividend strategy. Zbl 1488.91096
Liu, Zhang; Chen, Ping; Hu, Yijun
5
2020
Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio. Zbl 1443.91271
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming
4
2020
A mean-reverting currency model with floating interest rates in uncertain environment. Zbl 1438.91161
Wang, Weiwei; Chen, Ping
4
2019
Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes. Zbl 1394.91243
Zhao, Yongxia; Chen, Ping; Yang, Hailiang
30
2017
Markowitz’s mean-variance optimization with investment and constrained reinsurance. Zbl 1364.91075
Zhang, Nan; Chen, Ping; Jin, Zhuo; Li, Shuanming
2
2017
Mean-variance asset-liability management under constant elasticity of variance process. Zbl 1371.91173
Zhang, Miao; Chen, Ping
21
2016
Optimal reinsurance under dynamic VaR constraint. Zbl 1371.91112
Zhang, Nan; Jin, Zhuo; Li, Shuanming; Chen, Ping
15
2016
Multi-period defined contribution pension funds investment management with regime-switching and mortality risk. Zbl 1371.91171
Yao, Haixiang; Chen, Ping; Li, Xun
8
2016
Mean-variance portfolio selection with regime switching under shorting prohibition. Zbl 1408.91206
Zhang, Miao; Chen, Ping
3
2016
Optimal dividends and capital injections in the dual model with a random time horizon. Zbl 1341.49021
Zhao, Yongxia; Wang, Rongming; Yao, Dingjun; Chen, Ping
15
2015
Markowitz’s mean-variance defined contribution pension fund management under inflation: a continuous-time model. Zbl 1290.91153
Yao, Haixiang; Yang, Zhou; Chen, Ping
30
2013
Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers. Zbl 1290.91079
Chen, Ping; Yam, S. C. P.
24
2013
Markowitz’s mean-variance asset-liability management with regime switching: a multi-period model. Zbl 1213.91137
Chen, Ping; Yang, Hailiang
35
2011
Pension funding problem with regime-switching geometric Brownian motion assets and liabilities. Zbl 1224.91050
Chen, Ping; Yang, Hailiang
5
2010
Clocks and Fisher information. Zbl 1255.81097
Chen, Ping; Luo, Shunlong
1
2010
Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. Zbl 1152.91496
Chen, Ping; Yang, Hailiang; Yin, George
81
2008
Direct approach to quantum extensions of Fisher information. Zbl 1145.81321
Chen, Ping; Luo, Shunlong
8
2007
all top 5

Cited by 344 Authors

20 Li, Zhongfei
19 Chen, Ping
18 Yao, Haixiang
11 Zeng, Yan
9 Shen, Yang
9 Wei, Jiaqin
8 Wang, Wenyuan
7 Jin, Zhuo
7 Li, Xun
7 Wang, Rongming
5 Guan, Guohui
5 Liang, Zongxia
5 Pan, Jian
5 Sun, Jingyun
5 Wu, Huiling
5 Yam, Sheung Chi Phillip
5 Yang, Hailiang
5 Zhang, Yumo
5 Zhao, Yongxia
4 Alia, Ishak
4 Bian, Lihua
4 Ding, Feng
4 Dong, Hua
4 Fei, Shaoming
4 Li, Shuanming
4 Liang, Zhibin
4 Sun, Zhongyang
4 Wang, Ning
4 Wang, Tianxiao
4 Wong, Bernard
4 Wong, Hoi Ying
4 Wu, Zhaoqi
4 Yamazaki, Kazutoshi
4 Yin, Chuancun
4 Yuen, Kam Chuen
4 Zhang, Ling
4 Zhao, Hui
3 Avanzi, Benjamin
3 Bi, Junna
3 Chang, Hao
3 Cheng, Gongpin
3 Dong, Yinghui
3 Forsyth, Peter A.
3 Guo, Junyi
3 Huang, Ya
3 Li, Danping
3 Li, Xingyi
3 Luo, Shunlong
3 Pérez Garmendia, Jose Luis
3 Qian, Linyi
3 Wong, Kwok Chuen
3 Xu, Lin
3 Xu, Ran
3 Yang, Erfu
3 Zhang, Caibin
3 Zhang, Miao
3 Zhang, Nan
3 Zhou, Jieming
3 Zhou, Xiaowen
2 Bai, Lihua
2 Beetsma, Roel M. W. J.
2 Cai, Liang
2 Chen, Damiaan H. J.
2 Chen, Lv
2 Chen, Mi
2 Chen, Xiaowei
2 Chen, Zhiping
2 Chighoub, Farid
2 Chiu, Mei Choi
2 Dang, Duy Minh
2 de Moura, A. Bugalho
2 Hao, Zhifeng
2 Henriksen, Lars Frederik Brandt
2 Hu, Kang
2 Lai, Yongzeng
2 Li-Jost, Xianqing
2 Li, Xiufang
2 Li, Yuying
2 Li, Zhicheng
2 Lindensjö, Kristoffer
2 Liu, Zilan
2 Meng, Hui
2 Menoncin, Francesco
2 Siu, Chi Chung
2 van Wijnbergen, Sweder J. G.
2 Vigna, Elena
2 Wang, Guojing
2 Wang, Liyuan
2 Wang, Pei
2 Wen, Yuzhen
2 Wu, Xueyuan
2 Xiao, Qingxian
2 Xu, Cong
2 Xu, Ling
2 Yan, Tingjin
2 Yao, Dingjun
2 Zhang, Aili
2 Zhang, Chengke
2 Zhang, Liming
2 Zhang, Lin
...and 244 more Authors
all top 5

Cited in 74 Serials

50 Insurance Mathematics & Economics
29 Journal of Industrial and Management Optimization
11 Communications in Statistics. Theory and Methods
7 Journal of Computational and Applied Mathematics
7 Scandinavian Actuarial Journal
7 Journal of Systems Science and Complexity
5 Journal of Optimization Theory and Applications
5 Mathematical Problems in Engineering
4 International Journal of Control
4 Applied Mathematics and Computation
4 Optimization
4 International Journal of Robust and Nonlinear Control
4 Methodology and Computing in Applied Probability
4 ASTIN Bulletin
3 Applied Mathematics and Optimization
3 Optimal Control Applications & Methods
3 European Journal of Operational Research
3 Applied Mathematics. Series B (English Edition)
3 Discrete Dynamics in Nature and Society
3 Stochastic Models
3 Quantum Information Processing
3 Mathematical Control and Related Fields
3 Journal of Function Spaces
2 Computers & Mathematics with Applications
2 International Journal of Theoretical Physics
2 Automatica
2 Journal of Applied Probability
2 SIAM Journal on Control and Optimization
2 Bulletin of the Iranian Mathematical Society
2 Acta Mathematicae Applicatae Sinica. English Series
2 Mathematical Methods of Operations Research
2 Probability in the Engineering and Informational Sciences
2 Quantitative Finance
2 Acta Mathematica Scientia. Series B. (English Edition)
2 Fuzzy Optimization and Decision Making
2 Advances in Difference Equations
2 Frontiers of Mathematics in China
2 European Actuarial Journal
2 Journal of the Operations Research Society of China
1 Advances in Applied Probability
1 Journal of the Franklin Institute
1 Journal of Mathematical Analysis and Applications
1 Letters in Mathematical Physics
1 Lithuanian Mathematical Journal
1 Mathematical Methods in the Applied Sciences
1 Theoretical and Mathematical Physics
1 Chaos, Solitons and Fractals
1 Numerische Mathematik
1 Systems & Control Letters
1 Statistics & Probability Letters
1 Operations Research Letters
1 Circuits, Systems, and Signal Processing
1 Chinese Journal of Applied Probability and Statistics
1 Japan Journal of Industrial and Applied Mathematics
1 Communications in Statistics. Simulation and Computation
1 Computational and Applied Mathematics
1 Random Operators and Stochastic Equations
1 Applied Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 Abstract and Applied Analysis
1 Soft Computing
1 Infinite Dimensional Analysis, Quantum Probability and Related Topics
1 International Journal of Theoretical and Applied Finance
1 RAIRO. Operations Research
1 Applied Stochastic Models in Business and Industry
1 Asia-Pacific Financial Markets
1 REVSTAT
1 Discrete and Continuous Dynamical Systems. Series S
1 Communications in Theoretical Physics
1 Algorithms
1 Modern Stochastics. Theory and Applications
1 International Journal of Systems Science. Principles and Applications of Systems and Integration
1 AIMS Mathematics
1 Statistical Theory and Related Fields

Citations by Year