This paper considers an optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s stochastic volatility (SV) model. Suppose that the insurer is allowed to purchase excess-of-loss reinsurance and invests her surplus in a financial market consisting of...

In this study, we examine the daily returns and daily range returns dependent on close–close and the high–low prices when forecasting multifractal volatility in the Chinese stock market. In in-sample forecasting we find that both the daily returns and range returns have a significant impact...