In defined contribution (DC) pension schemes, the financial risk borne by the member occurs during the accumulation phase. To build up sufficient funds for retirement, scheme members invest their wealth in a portfolio of assets. This paper considers an optimal investment problem of a scheme...

This paper considers an asset-liability management (ALM) problem under a continuous-time Markov regime-switching model. By adopting the techniques of [Zhou, X.Y., Yin, G., 2003. Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model. SIAM J. Control Optim....

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...

Following the framework of Promislow and Young (2005), this paper considers an optimal investment–reinsurance problem of an insurer facing a claim process modeled by a Brownian motion with drift under the Markowitz mean–variance criterion. The market modes are divided into a finite number of...

This article investigates the valuation of currency options when the dynamic of the spot Foreign Exchange (FX) rate is governed by a two-factor Markov-modulated stochastic volatility model, with the first stochastic volatility component driven by a lognormal diffusion process and the second...

In this paper, we study a Markov regime-switching risk model where dividends are paid out according to a certain threshold strategy depending on the underlying Markovian environment process. We are interested in these quantities: ruin probabilities, deficit at ruin and expected ruin time. To...