We consider the optimal reinsurance and investment problem in an unobservable Markov-
modulated compound Poisson risk model, where the intensity and jump size distribution are …

We determine the optimal robust investment strategy of an individual who targets at a given
rate of consumption and seeks to minimize the probability of lifetime ruin when she does not …

We consider that the surplus of an insurance company follows a Cramér–Lundberg process.
The management has the possibility of investing part of the surplus in a risky asset. We …

Drawdown measures the decline of portfolio value from its historic high-water mark. In this
paper, we study a lifetime investment problem aiming at minimizing the risk of drawdown …

We address an optimal consumption–investment–retirement problem with stochastic labor
income. We study the Merton problem assuming that the agent has to take four different …

We study an optimal reinsurance problem under a diffusion risk model for an insurer who
aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only …

We study the optimal investment and reinsurance problem in a risk model with two
dependent classes of insurance businesses, where the two claim number processes are …

We reveal an interesting convex duality relationship between two problems:(a) minimizing
the probability of lifetime ruin when the rate of consumption is stochastic and the individual …

We apply the stochastic Perron's method to a singular control problem where an individual
targets at a given consumption rate, invests in a risky financial market in which trading is …

We find the minimum probability of lifetime ruin of an investor who can invest in a market
with a risky and a riskless asset and who can purchase a commutable life annuity. The …