We introduce a novel approach to optimal investment-reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is...

Credit risk measurement and management are important and current issues in the modern finance world from both the theoretical and practical perspectives. There are two major schools of thought for credit risk analysis, namely the structural models based on the asset value model originally...

We consider the bond valuation problem when the short rate process is described by a Markovian regime-switching Hull-White model or a Markovian regime-switching Cox-Ingersoll-Ross model. In each of the two short rate models, we establish a Markov-modulated exponential-affine bond price formula...

This paper proposes a partial differential equation (PDE) approach to calculate coherent risk measures for portfolios of derivatives under the Black-Scholes economy. It enables us to define the risk measures in a dynamic way and to deal with American options in a relatively effective way. Our...

Recently, there has been considerable interest in investigating option valuation problem in the context of regime-switching models. However, most of the literature consider the case that the risk due to switching regimes is not priced. Relatively little attention has been paid to investigate the...