相关论文: Optimal reinsurance in a dynamic contagion model: …
We investigate the optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process. We maximize expected exponential utility of terminal wealth…
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…
We investigate the optimal reinsurance problem under the criterion of maximizing the expected utility of terminal wealth when the insurance company has restricted information on the loss process. We propose a risk model with claim arrival…
In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…
We investigate an optimal prevention and insurance problem in a general risk setting, where a representative agent is exposed to potential losses. The agent adopts a strategy that combines self-protection, aimed at reducing the frequency of…
This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and introducing an incentive compatibility constraint to address…
The aim of this paper is to study an optimal stopping problem for dynamic risk measures induced by backward stochastic differential equations with jumps and delayed generator. Firstly, we connect the value function of this problem to…
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…
The present paper addresses the issue of the stochastic control of the optimal dynamic reinsurance policy and dynamic dividend strategy, which are state-dependent, for an insurance company that operates under multiple insurance lines of…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum,…
This paper investigates the form of optimal reinsurance contracts in the case of clusters of losses. The underlying insured risk is represented by a marked Hawkes process, where the intensity of the jumps depends not only on the occurrence…
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
We study a regulation problem for stochastic systems subject to both continuous fluctuations and rare but significant shocks, modeled as a jump-diffusion with uncertainty in both the drift and the jump intensity. Such settings arise in…
This paper is concerned with one kind of partially observed progressive optimal control problems of coupled forward-backward stochastic systems driven by both Brownian motion and Poisson random measure with risk-sensitive criteria. The…
We explore an optimal impulse control problem wherein an electronic device owner strategically calibrates protection levels against cyber attacks. Utilizing epidemiological compartment models, we qualitatively characterize the dynamics of…
We study the optimal stopping problem for dynamic risk measures represented by Backward Stochastic Differential Equations (BSDEs) with jumps and its relation with reflected BSDEs (RBSDEs). We first provide general existence, uniqueness and…
In this paper, we study an optimal dividend and capital-injection problem in a Cram\'er--Lundberg model where claim arrivals follow a Hawkes process, capturing clustering effects often observed in insurance portfolios. We establish key…
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…