A continuous-time mean-variance model for individual investors with stochastic liability in a Markovian regime switching financial market, is investigated as a generalization of the model of Zhou and Yin [Zhou, X.Y., Yin, G., 2003. Markowitz's mean-variance portfolio selection with regime...

This paper develops a formal model to detect whether loss aversion, as a stable feature, serves as a medium for translating better environment into inferior performance. We show that environmental improvements induce a structural behavior change of loss-averse investors, which in turn leads to...

This paper studies the optimal dividend strategies of an insurance company when the manager has time-inconsistent preferences. We consider the problem for a naive manager and a sophisticated manager, and analytically derive the optimal dividend strategies when claim sizes follow an exponential...

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...

We investigate in this paper a continuous-time mean–variance portfolio selection problem in a general market setting with multiple assets that all can be risky. Using the Lagrange duality method and the dynamic programming approach, we derive explicit closed-form expressions for the efficient...