In this paper, we study optimal investment policies of an insurer with jump-diffusion risk
process. Under the assumptions that the risk process is compound Poisson process …

We investigate a robust optimal portfolio and reinsurance problem under a Cramér–
Lundberg risk model for an ambiguity-averse insurer (AAI), who worries about uncertainty in …

Motivated by the AIG bailout case in the financial crisis of 2007–2008, we consider an
insurer who wants to maximize his/her expected utility of terminal wealth by selecting …

In this paper, we consider the jump‐diffusion risk model with proportional reinsurance and
stock price process following the constant elasticity of variance model. Compared with the …

Fog computing has gained tremendous popularity due to its capability of addressing the
surging demand on high-quality ubiquitous mobile services. Nevertheless, the highly …

In this thesis, we consider three non-trivial problems of risk allocation and apply approaches
from theoretical finance and risk management to address several policy debates from a …

This paper presents a technique to solve the problem where a couple aims to optimize their
consumption, investment, and life-insurance purchasing strategies, thereby maximizing their …

We study an optimal portfolio and consumption choice problem of a family that combines life
insurance for parents who receive deterministic labor income until the fixed time T. We …

In this paper, we study an insurer's reinsurance–investment problem under a mean–
variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy …

Herein, we study the optimization problem faced by an insurance firm who can control its
cash-balance dynamics by adjusting the underlying premium rate. The firm's objective is to …