In this paper, we consider a continuous-time version of a reinsurance chain, which is sequentially formed by $n+1$ companies, with the first company being the primary insurer and the rest being reinsurers. Because of possible model misspecification, all companies are ambiguous about the original...

We propose a novel credit default model that takes into account the impact of macroeconomic information and contagion effect on the defaults of obligors. We use a set-valued Markov chain to model the default process, which is the set of all defaulted obligors in the group. We obtain analytic...

We study the design of fee structures of variable annuities as a stochastic control problem, in which an insurer is allowed to choose the fee structure in any form, and seeks an optimal one to maximize her expected discounted net profit. We obtain a semi-explicit characterization result for the...

We consider an optimal trading problem for an investor who trades Bitcoin spot and Bitcoin inverse futures, plus a risk-free asset. The investor seeks an optimal strategy to maximize her expected utility of terminal wealth. We obtain explicit solutions to the investor's optimal strategies under...