We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the insurance company evolves according to the diffusive...

We consider a stochastic differential game, where each player continuously controls the diffusion intensity of her own state process. The players must all choose from the same diffusion rate interval [σ1,σ2], and have individual random time horizons that are independently drawn from the same...

Within the one-factor capital asset pricing model (CAPM), the minimum-variance portfolio (MVP) is known to have long positions in those assets of the underlying investment universe whose betas are less than a well-defined long-short threshold beta. We study the structure of MVPs in more general...