This paper considers the optimal time-consistent investment and reinsurance strategies for an insurer under Heston’s stochastic volatility (SV) model. Such an SV model applied to insurers’ portfolio problems has not yet been discussed as far as we know. The surplus process of the insurer is...

The optimal excess-of-loss reinsurance and investment strategies under a constant elasticity of variance (CEV) model for an insurer are considered in this paper. Assume that the insurer’s surplus process is approximated by a Brownian motion with drift, the insurer can purchase excess-of-loss...

This paper investigates the optimal time-consistent policies of an investment-reinsurance problem and an investment-only problem under the mean-variance criterion for an insurer whose surplus process is approximated by a Brownian motion with drift. The financial market considered by the insurer...

This paper considers a robust optimal reinsurance and investment problem under Heston’s Stochastic Volatility (SV) model for an Ambiguity-Averse Insurer (AAI), who worries about model misspecification and aims to find robust optimal strategies. The surplus process of the insurer is assumed to...

This paper investigates an asset allocation problem for defined contribution pension funds with stochastic income and mortality risk under a multi-period mean–variance framework. Different from most studies in the literature where the expected utility is maximized or the risk measured by the...

This paper investigates a continuous-time mean–variance asset–liability management problem with endogenous liabilities in a more general market where all the assets can be risky. Different from exogenous liabilities that cannot be controlled, the endogenous liabilities can be controlled by...

In this paper we formulate a continuous-time mean-variance portfolio selection model with multiple risky assets and one liability in an incomplete market. The risky assets' prices are governed by geometric Brownian motions while the liability evolves according to a Brownian motion with drift....

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...

This paper investigates a non-self-financing portfolio optimization problem under the framework of multi-period mean–variance with Markov regime switching and a stochastic cash flow. The stochastic cash flow can be explained as capital additions or withdrawals during the investment process....

In this paper, we study an insurer’s optimal time-consistent strategies under the mean–variance criterion with state dependent risk aversion. It is assumed that the surplus process is approximated by a diffusion process. The insurer can purchase proportional reinsurance and invest in a...