This paper studies the optimal dividend strategies of an insurance company when the manager has time-inconsistent preferences. We consider the problem for a naive manager and a sophisticated manager, and analytically derive the optimal dividend strategies when claim sizes follow an exponential...

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...

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 studies an optimal investment and reinsurance problem incorporating jumps for mean–variance insurers within a game theoretic framework and aims to seek the corresponding time-consistent strategies. Specially, the insurers are allowed to purchase proportional reinsurance, acquire new...

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...

. In this paper, we consider the nonstationary Markov decision processes (MDP, for short) with average variance criterion on a countable state space, finite action spaces and bounded one-step rewards. From the optimality equations which are provided in this paper, we translate the average...