Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
This paper investigates a robust optimal asset-liability management problem under an
expected utility maximization criterion. More specifically, the manager is concerned about …
expected utility maximization criterion. More specifically, the manager is concerned about …
Reinsurance–investment game between two mean–variance insurers under model uncertainty
This paper investigates a class of robust non-zero-sum reinsurance–investment stochastic
differential games between two competing insurers under the time-consistent mean …
differential games between two competing insurers under the time-consistent mean …
Relative performance evaluation for dynamic contracts in a large competitive market
In this article, we develop a novel dynamic model to study the role and effect of relative
performance evaluation (RPE) in a delegated portfolio management framework, where a …
performance evaluation (RPE) in a delegated portfolio management framework, where a …
Robust asset-liability management games for n players under multivariate stochastic covariance models
This paper investigates a non-zero-sum stochastic differential game among n competitive
CARA asset-liability managers, who are concerned about the potential model ambiguity and …
CARA asset-liability managers, who are concerned about the potential model ambiguity and …
Household consumption-investment-insurance decisions with uncertain income and market ambiguity
In this paper, we aim to study optimal decisions on consumption, investment and purchasing
life insurance of a household with two consecutive generations, say parents and children. A …
life insurance of a household with two consecutive generations, say parents and children. A …
Robust reinsurance and investment strategies under principal–agent framework
N Wang, TK Siu, K Fan - Annals of Operations Research, 2024 - Springer
In this paper, a class of reinsurance contracting problems is examined under a continuous-
time principal–agent framework with mean-variance criteria, where a reinsurer and an …
time principal–agent framework with mean-variance criteria, where a reinsurer and an …
Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
H Zhu, M Cao, Y Zhu - Optimization, 2021 - Taylor & Francis
This paper considers a non-zero-sum stochastic differential game between two competitive
mean-variance insurers, who aim to seek the time-consistent reinsurance and investment …
mean-variance insurers, who aim to seek the time-consistent reinsurance and investment …
A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
Q Zhang, Z Liang, F Wang - Scandinavian Actuarial Journal, 2024 - Taylor & Francis
In this paper, we investigate the optimal reinsurance and investment problem from joint
interests of the insurer and the reinsurer in the framework of the mixed leadership game …
interests of the insurer and the reinsurer in the framework of the mixed leadership game …
Robust reinsurance contracts with risk constraint
N Wang, TK Siu - Scandinavian Actuarial Journal, 2020 - Taylor & Francis
This paper aims to investigate optimal reinsurance contracts in a continuous-time modelling
framework from the perspective of a principal-agent problem. The reinsurer plays the role of …
framework from the perspective of a principal-agent problem. The reinsurer plays the role of …
Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
X Dong, X Rong, H Zhao - Scandinavian Actuarial Journal, 2023 - Taylor & Francis
This paper investigates a non-zero-sum stochastic differential game between two
competitive CARA insurers, where we adopt the different classes of premium principles …
competitive CARA insurers, where we adopt the different classes of premium principles …