We study a robust consumption-investment problem with retirement and life insurance
decisions for an agent who is concerned about inflation risk and model ambiguity. Assuming …

This paper is concerned with the optimal portfolio problem for a company that can invest in
two risky assets, where a novel Lévy-process-driven model is constructed to describe the …

The present paper is focused on the solution of optimal control problems such as optimal
acquisition, optimal liquidation, and market making in relation to the high-frequency trading …

In this paper, we consider a stochastic asset allocation and reinsurance game between two
insurance companies with contagious claims, where the insurance claim of one insurer can …

This paper is concerned with the investment and reinsurance problem between two
insurance companies and a reinsurance company by constructing a two‐layer stochastic …

In this paper, we consider the optimal dividend policy for an insurance company under a
contagious insurance market, where the occurrence of a claim can trigger sequent claims …

This paper explored an investment and risk control issue within a contagious financial
market, specifically focusing on a mean-variance (MV) framework for an insurer. The …

In recent years, problems of nonzero-sum investment and reinsurance games have received
a lot of attention from scholars. However, for practical consideration, there is also …

In this paper, we study a stochastic differential investment consumption and proportional
reinsurance game problem for two competitive insurers with constant absolute risk aversion …

This study aims to understand the condition of BSI employees as one of the impacts during
the first year of the merger process. This research and writing is also motivated by the idea …