In defined contribution (DC) pension schemes, the financial risk borne by the member occurs during the accumulation phase. To build up sufficient funds for retirement, scheme members invest their wealth in a portfolio of assets. This paper considers an optimal investment problem of a scheme...

In this paper, we study an optimal investment problem of an insurance company with a Cramér–Lundberg risk process and investments portfolio consisting of a risky asset with stochastic volatility and a money market. The asset prices are affected by a correlated economic factor, modeled as...

In this paper, we study an insurer’s optimal time-consistent strategies under the mean–variance criterion with state dependent risk aversion. It is assumed that the surplus process is approximated by a diffusion process. The insurer can purchase proportional reinsurance and invest in a...

This paper is devoted to study the effects arising from imposing a value-at-risk (VaR) constraint in the mean–variance portfolio selection problem for an insurer who receives a stochastic cash flow which he must then invest in a continuous-time financial market. For simplicity, we assume that...

The optimal excess-of-loss reinsurance and investment strategies under a constant elasticity of variance (CEV) model for an insurer are considered in this paper. Assume that the insurer’s surplus process is approximated by a Brownian motion with drift, the insurer can purchase excess-of-loss...

We consider in this paper the optimal dividend problem for an insurance company whose uncontrolled reserve process evolves as a classical Cramér–Lundberg model with arbitrary claim-size distribution. Our objective is to find the dividend payment policy which maximizes the cumulative expected...

This paper investigates a continuous-time mean–variance asset–liability management problem with endogenous liabilities in a more general market where all the assets can be risky. Different from exogenous liabilities that cannot be controlled, the endogenous liabilities can be controlled by...

We consider an investor who wants to select his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial market but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize his...

This paper considers an optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s stochastic volatility (SV) model. Suppose that the insurer is allowed to purchase excess-of-loss reinsurance and invests her surplus in a financial market consisting of...

This paper analyzes the optimal proportional reinsurance and investment problem for an insurer in a defaultable market. We assume that the reinsurance premium is calculated via the exponential premium principle. The insurer can allocate his/her wealth among the following securities: a bank...