This paper studies the optimization problem of DC pension plan under mean–variance criterion. The financial market consists of cash, bond and stock. Similar to Guan and Liang (2014), we assume that the instantaneous interest rate is an affine process including the Cox–Ingersoll–Ross (CIR)...

In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is approximated by a drifted Brownian motion. Proportional reinsurance is to hedge the risk of insurance. Interest rate risk and inflation risk are considered. We suppose that the...

We consider the optimal control problem of the insurance company with proportional reinsurance policy. The management of the company controls the reinsurance rate, dividends payout as well as the equity issuance processes to maximize the expected present value of the dividends minus the equity...

We consider the optimal financing and dividend control problem of the insurance company with fixed and proportional transaction costs. The management of the company controls the reinsurance rate, dividends payout as well as the equity issuance process to maximize the expected present value of...

This paper considers the optimal control problem of the insurance company with proportional reinsurance policy under solvency constraints. The management of the company controls the reinsurance rate and dividends payout processes to maximize the expected present value of the dividend until the...

In this paper, we study optimal asset allocation and benefit outgo policies of DC (defined contribution) pension plan. We extend He and Liang model (2013a,b) to describe dynamics of individual fund scale during distribution period. The fund scale is affected by investment return, benefit outgo...

We consider an optimal impulse control problem on reinsurance, dividend and reinvestment of an insurance company. To close reality, we add fixed and proportional transaction costs to this problem. The value of the company is associated with expected present value of net dividends pay out minus...

In this paper we establish some new theorems on pathwise uniqueness of solutions to the stochastic differential equations of the form of for with non-Lipschitz coefficients, where is a continuous square integrable martingale and is a continuous increasing process, Z is a continuous stochastic...

In this paper, we study the optimal investment strategy in the DC pension plan during the accumulation phase. During the accumulation phase, a pension member contributes a predetermined amount of money as premiums and the management of the pension plan invests the premiums in equities and bonds...

This paper considers an optimal control of a big financial company with debt liability under bankrupt probability constraints. The company, which faces constant liability payments and has choices to choose various production/business policies from an available set of control policies with...