Jin Sun

University of Technology Sydney (UTS)

15 Broadway, Ultimo

PO Box 123

Sydney, NSW 2007

Australia

SCHOLARLY PAPERS

5

DOWNLOADS

292

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Investing for the Long Run

Number of pages: 38 Posted: 11 May 2017 Last Revised: 29 Mar 2019
Johannes Gutenberg University Mainz - Department of Banking, University of Technology, Sydney (UTS) - Finance Discipline Group and University of Technology Sydney (UTS)
Downloads 185 (202,827)

Abstract:

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stochastic discount factor, minimum pricing, optimal portfolio, growth optimal portfolio, dynamic Kelly strategy

2.

A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees

Number of pages: 23 Posted: 13 May 2017
University of Technology Sydney (UTS), Macquarie University - Department of Actuarial Studies and Business Analytics and Commonwealth Bank of Australia
Downloads 48 (483,081)
Citation 1

Abstract:

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Variable Annuity Guarantees, Guaranteed Minimum Withdrawal Benefits, Management Fees, Stochastic Optimal Control, PDE, Finite Difference

3.

Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies

Number of pages: 21 Posted: 24 Apr 2019
Jin Sun and Eckhard Platen
University of Technology Sydney (UTS) and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 30 (571,243)

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benchmark approach, benchmarked risk minimization, life insurance, mortality model

4.

Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach

Number of pages: 22 Posted: 13 Jun 2019
University of Technology Sydney (UTS), University of Melbourne - Centre for Actuarial Studies, University of Technology, Sydney (UTS) - Finance Discipline Group and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 16 (665,334)

Abstract:

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variable annuity guarantee, stochastic optimal control, stochastic reserve, benchmark approach

5.

Optimal Investment-Consumption-Insurance with Durable and Perishable Consumption Goods in a Jump Diffusion Market

Number of pages: 24 Posted: 25 Mar 2019
University of Technology Sydney (UTS), Macquarie University and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 13 (688,146)

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optimal stochastic control, durable goods, jump-diffusion market, insurance, optimal impulse control, intervention value, stopping time iteration