This paper studies the optimal investment problem for an investor who wants to maximize
the expected utility of the terminal asset–liability ratio under liquidity constraints and …

This paper develops numerical methods for finding optimal dividend pay-out and
reinsurance policies. A generalized singular control formulation of surplus and discounted …

Principle of optimality or dynamic programming leads to derivation of a partial differential
equation (PDE) for solving optimal control problems, namely the Hamilton‐Jacobi‐Bellman …

This work develops an approximation procedure for a class of non-zero-sum stochastic
differential investment and reinsurance games between two insurance companies. Both …

This work develops numerical approximation methods for quantile hedging involving
mortality components for contingent claims in incomplete markets, in which guaranteed …

This paper derives the optimal debt ratio, investment and dividend payment strategies for an
insurance company. The surplus process is jointly determined by the reinsurance strategies …

In this paper, a numerical algorithm is presented to solve stochastic optimal control problems
via the Markov chain approximation method. This process is based on state and time spaces …

This paper demonstrates a new interpretation of the material purchasing management
system (MPMS) from the perspective of complex adaptive systems (CAS). Within the …

We propose a new computational method for a class of controlled jump-diffusions for
financial applications. In the first step of our method, we apply piecewise constant policy …

Since 1990, there has been substantial debate in both the popular press and academic
materials about earnings management by multinational companies and the capital markets …