This paper solves an optimal insurance design problem in which both the insurer and the insured are subject to Knightian uncertainty about the loss distribution. The Knightian uncertainty is modeled in a multi-prior g-expectation framework. We obtain an endogenous characterization of the optimal...

Consistent financial performance is the key element to success in asset management. We use a dynamic wealth constraint to represent the consistent performance requirement, which takes into account the entire historical records as a benchmark so that the wealth always stays at or above the...

It is well established that the standard Black-Scholes model does a very poor job in matching the prices of vanilla European options. The implied volatility varies by both time to maturity and by the moneyness of the option. One approach to this problem is to use the market option prices to back...