We study a robust consumption-investment problem with retirement and life insurance
decisions for an agent who is concerned about inflation risk and model ambiguity. Assuming …

This paper provides the first optimal portfolio analysis for a constant relative risk-averse and
ambiguity-averse investor under the state-of-the-art 4/2 stochastic volatility model in a …

Abstract Accepted by: Giorgio Consigli In this article, we consider a reinsurance contract
design by taking into account the joint interests of multiple insurers and a reinsurer. The …

Consider a robust consumption-investment problem for a risk-and ambiguity-averse investor
who is concerned about return ambiguity in risky asset prices. When the investor aims to …

This paper proposes a regression-based simulation algorithm for multi-period mean-
variance portfolio optimization problems with constraints under a high-dimensional setting …

This paper examines a continuous time intertemporal consumption and portfolio choice
problem with a stochastic differential utility preference of Epstein–Zin type for a robust …

This paper investigates the investment decision of insurers when there is ambiguous
correlation between the financial market and the insurance business. The robust decision …

This paper examines continuous time intertemporal consumption and portfolio choice
problems of an investor in a generalized stochastic differential utility preference of Epstein …

In this paper, we study a stochastic optimal control problem under degenerate G-
expectation. By using implied partition method, we show that the approximation result for …

We propose and analyze a stochastic competing two-species population dynamics model
subject to jump and continuous correlated noises. Competing benthic algae population …