This paper focuses on the constant elasticity of variance (CEV) model for studying the utility maximization portfolio selection problem with multiple risky assets and a risk-free asset. The Hamilton–Jacobi–Bellman (HJB) equation associated with the portfolio optimization problem is...

This paper considers an optimal investment and reinsurance problem involving a defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk model. The insurer is allowed to purchase proportional reinsurance or acquire new business and invest in a financial...

This paper studies the optimal investment and benefit adjustment problem for a collective DC pension plan under longevity trend. We assume that the mortality hazard rate is a function of age and time, which extends the Makeham's Law and can describe the longevity trend. The contribution rate is...