Multiple structural breaks detection for Interval-Valued Time Series (IVTS) is undoubtedly
relevant under practical perspectives and challenging under the point of view of the analysis …

We investigate the risk control and dividend optimization problem of an insurance group in a
general setting and propose an innovative semi-analytical approach to the problem. The …

In this study, we consider a time-consistent mean–variance asset–liability management
portfolio selection problem in which the liability is controllable. The objective is to find an …

This article describes a robust continuous-time asset-liability management problem under
Markov regime-switching. First, we employ the “homothetic robustness” to preserve the …

The purpose of this paper is to propose a methodology that allies both theoretical and
empirical aspects to model and solve the problem of finding the optimal market-based …

We investigated the optimal risk management strategies of an insurance company within a
two-player non-cooperative differential game framework. The key feature of this model is …

This paper considers a state-dependent optimal asset-liability management problem in
continuous-time settings. The investor maximizes the expected state-dependent utility of the …

We study an optimal dividend problem for an insurer who simultaneously controls
investment weights in a financial market, liability ratio in the insurance business, and …

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 …

This study considers the optimal debt ratio and dividend payment policies for an insurer
concerned about model misspecification. We assume that the insurer can invest all of its …