This paper investigates the open-loop equilibrium reinsurance-investment (RI) strategy
under general stochastic volatility (SV) models. We resolve difficulties arising from the …

In this study, we consider a time-consistent mean–variance asset–liability management
portfolio selection problem in which the liability is controllable. The objective is to find an …

We consider an optimal investment and risk control problem for an insurer under the mean–
variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in …

Any firm whose business strategy has an exposure constraint that limits its potential gain
naturally considers expansion, as this can increase its exposure. We model business …

This paper studies insurance companies' optimal reinsurance–investment strategy under the
stochastic interest rate and stochastic volatility model, taking the HARA utility function as the …

This paper focuses on the optimal reinsurance problem with consideration of joint interests
of an insurer and a reinsurer. In our model, the risk process is assumed to follow a Brownian …

This paper is concerned with the uniqueness issue of open-loop equilibrium investment
strategies of dynamic mean-variance portfolio selection problems with random coefficients …

In this paper, we study the open-loop equilibrium strategy for mean-variance portfolio
selection problem under the assumption that the risk tolerance of the investor is a non …

This paper studies the open-loop equilibrium strategies for a class of non-zero-sum
reinsurance–investment stochastic differential games between two insurers with a state …

This paper is devoted to study the proportional reinsurance/new business and investment
problem under the mean-variance criterion in a continuous-time setting. The strategies are …