This paper investigates a robust optimal asset-liability management problem under an
expected utility maximization criterion. More specifically, the manager is concerned about …

In this study, we investigate the competition among insurers under the mean–variance
criterion. The optimization problems are formulated for finite and infinite insurers. The …

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 …

A new stochastic control model for the long-run environmental management of rivers is
mathematically and numerically analyzed, focusing on a modern sediment replenishment …

The objectives: This paper aims to examine the effect of the proxy financial performance
used by ROA, ROE, NIM on share prices of banking sector companies on the Indonesian …

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 …

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 …

Based on the theoretical framework of expected utility with uncertain probabilities, this paper
uses actual prices of CSI300 and Hang Seng index to empirically measure ambiguity …

This paper studies the optimal consumption, investment, health insurance and life insurance
strategy for a wage earner with smooth ambiguity, habit formation and biometric risks. The …

In this paper, we investigate the optimal reinsurance and investment problem in the
framework of the hybrid stochastic differential game, which includes a stochastic Stackelberg …