This article presents a mathematical model for jointly optimizing base stock levels for the multiple items subject to service level goals. The proposed model uses the expected demand and substitution probabilities between products as inputs and has been used to analyze the effects of demand...

Accurate estimates of the future demand and the substitution probabilities between products are important inputs for retail assortment optimization. However, these quantities are difficult to estimate as the estimation involves understanding and modeling of consumer’s choice behavior when a...

In this paper, we study optimal reinsurance/new business and investment (no-shorting) strategy for the mean-variance problem in two risk models: a classical risk model and a diffusion model. The problem is firstly reduced to a stochastic linear-quadratic (LQ) control problem with constraints....

In this paper, the basic claim process is assumed to follow a Brownian motion with drift. In addition, the insurer is allowed to invest in a risk-free asset and n risky assets and to purchase proportional reinsurance. Under the constraint of no-shorting, we consider two optimization problems:...