Jingong Zhang

University of Waterloo - Department of Statistics and Actuarial Science

Ph.D. candidate

200 University Avenue West

Waterloo, Ontario N2L 3G1

Croatia

SCHOLARLY PAPERS

2

DOWNLOADS

90

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Optimal Hedging with Basis Risk under Mean-Variance Criterion

Insurance: Mathematics and Economics, Vol. 75, 1-15, 2017
Number of pages: 41 Posted: 04 Apr 2017 Last Revised: 10 May 2019
Jingong Zhang, Ken Seng Tan and Chengguo Weng
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo
Downloads 77 (350,671)

Abstract:

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Basis Risk; Optimal Hedging; Time Consistent Planning; Mean-Variance

2.

Optimal Dynamic Longevity Hedge with Basis Risk

Number of pages: 30 Posted: 22 Jul 2020
Chengguo Weng, Ken Seng Tan and Jingong Zhang
University of Waterloo, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 13 (632,466)

Abstract:

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Risk management, Pension liability management, Longevity risk, Dynamic programming, Mean-variance.