In this paper, we consider a continuous-time version of a reinsurance chain, which is sequentially formed by $n+1$ companies, with the first company being the primary insurer and the rest being reinsurers. Because of possible model misspecification, all companies are ambiguous about the original...

We study a dynamic Stackelberg differential game between a buyer and a seller of insurance policies in a spectrally negative Lévy framework, in which both parties are ambiguous about the intensity and severity of insurable losses. Both the buyer and seller aim to maximize their expected wealth,...

This paper studies reinsurance contracting and competition in a continuous-time model with ambiguity. The market consists of one insurer and two reinsurers, who apply a generalized expected-value premium principle and a generalized variance premium principle to price reinsurance contracts,...

We solve a Stackelberg differential game between a buyer and a seller of insurance policies, in which both parties are ambiguous about the insurable loss. Both the buyer and seller maximize their expected wealth, plus a penalty term that reflects ambiguity, over an exogenous random horizon....

We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumption rate, and in which she invests in a Black-Scholes market. The individual is constrained to consume at a rate...

We formulate and solve a deterministic optimal consumption problem to maximize the discounted CRRA utility of an individual’s consumption-to-habit process assuming she only invests in a riskless market and that she is unwilling to consume at a rate below a certain proportion α∈(0, 1] of her...

We determine the optimal strategy for investing in a Black-Scholes market in order to maximize the probability that wealth at death meets a bequest goal $b$, a type of goal-seeking problem, as pioneered by Dubins and Savage (1965, 1976). The individual consumes at a constant rate $c$, so the...

We propose a new optimal consumption model in which the degree of addictiveness of habit formation is directly controlled through a constraint on admissible consumption. In particular, we assume that the individual is unwilling to consume at a rate below a certain proportion 0α≤1 of her...