Let $(X_t)_{t\ge0}$ be a continuous-time, time-homogeneous strong Markov process with possible jumps and let $\tau$ be its first hitting time of a Borel subset of the state space. Suppose $X$ is sampled at random times and suppose also that $X$ has not hit the Borel set by time $t$. What is the...

This paper considers a multi-period mean–variance portfolio selection problem with uncertain time-horizon in a regime-switching market, where the conditional distribution of the time-horizon is assumed to be stochastic and depends on the market states as the returns of risky assets do....

This paper considers the multi-period optimal strategies for an investment-only problem and an investment–consumption problem. The financial market is regime-switching and consists of one risk-free asset and multiple risky assets. The state process of the financial market is modeled by a...

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...

Density functional theory, high-level model chemistry at G3(MP2), CBS-Q, G3//B3LYP, G3(QCI) and QCISD(T)/aug-cc-pv5z levels of theory combined with statistical thermodynamics have been employed to explore the thermodynamic properties of gaseous SiC(X 3Π) and SiC(a 1Σ). The heat capacities...

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 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...