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Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
Abstract This paper investigates an optimal investment strategy of DC pension plan in a stochastic interest rate and stochastic volatility framework. We apply an affine model including theExpand
Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs
We consider the optimal financing and dividend control problem of the insurance company with fixed and proportional transaction costs. The management of the company controls the reinsurance rate,Expand
Optimal financing and dividend control of the insurance company with proportional reinsurance policy
We consider the optimal control problem of the insurance company with proportional reinsurance policy. The management of the company controls the reinsurance rate, dividends payout as well as theExpand
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is approximated by a drifted Brownian motion. Proportional reinsurance is to hedge theExpand
Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints
This paper studies the risk management in a defined contribution (DC)pension plan. The financial market consists of cash, bond and stock. The interest rate in our model is assumed to follow anExpand
Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework
In this paper, we study the optimal investment strategy in the DC pension plan during the accumulation phase. During the accumulation phase, a pension member contributes a predetermined amount ofExpand
Optimal dividend and investing control of an insurance company with higher solvency constraints
This paper considers the optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investingExpand
Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
This paper studies the optimization problem of DC pension plan under mean–variance criterion. The financial market consists of cash, bond and stock. Similar to Guan and Liang (2014), we assume thatExpand
Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information
In this paper, based on equilibrium control law proposed by Bjork and Murgoci (2010), we study an optimal investment and reinsurance problem under partial information for insurer with mean–varianceExpand
Quasi Sure quadratic variations of two parameter smooth martingales on the Wiener space
Stimulated by Malliavin calculus, the theory of quasi sure analysis of Wiener functionals has been extensively developed (cf. [4, 6, 7, 8, 9, 12, 13, 16, 17, 18, 19], etc). Recently, J. Ren (cf.Expand
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