We consider the classical Cramér-Lundberg model with dynamic proportional reinsurance and solve the problem of finding the optimal reinsurance strategy which minimizes the expected quadratic distance of the risk reserve to a given benchmark. This result is extended to a mean-variance problem....

This paper investigates the optimal investment strategy for a defined contribution (DC) pension plan during the decumulation phase which is risk-averse and pays close attention to inflation risk. The plan aims to maximize the expected constant relative risk aversion (CRRA) utility from the...

A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...

This paper proposes and solves an optimal dividend problem in which a two-state regimeswitching environment affects the dynamics of the company's cash surplus and, as a novel feature, also the bankruptcy level. The aim is to maximize the total expected profits from dividends until bankruptcy....

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...

This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the decision maker is permitted to "stop", i.e....

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total expected discounted amount of capital injections needed to prevent the ruin. The company's surplus process is assumed to follow a Brownian motion with drift, and the reinsurance...

This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A...

We solve the problem of an insurer who decides to optimally allocate a proportion (1-a(t)) of premiums to a re-insurance company (thereby retaining a proportion a(t) of premiums) and who also has to optimally pay dividends c(t) at any time t to shareholders. If the insurer's reserve x(t) is a...