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

146

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 103 (355,708)

Abstract:

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

2.

Optimal Dynamic Longevity Hedge with Basis Risk

Tan, K.S., Weng, C., Zhang, J., 2021. Optimal Dynamic Longevity Hedge with Basis Risk. European Journal of Operational Research. In press.
Number of pages: 30 Posted: 22 Jul 2020 Last Revised: 08 Jun 2021
Ken Seng Tan, Chengguo Weng and Jingong Zhang
University of Waterloo, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 43 (557,680)

Abstract:

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