We present a survey of problems and methods contained in various works on consumption-investment problems with transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic impulse control. We also describe some open problems in this...

We present a survey of problems and methods contained in various works on consumption-investment problems with transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic impulse control. We also describe some open problems in this...

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...

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 optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and...

Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is...