This paper investigates a robust optimal asset-liability management problem under an
expected utility maximization criterion. More specifically, the manager is concerned about …

In this paper, we study a robust optimal reinsurance–investment problem for a general
insurance company which holds shares of an insurance company and a reinsurance …

Extreme natural disasters caused by climate change and socio-economic development,
such as floods, are likely to occur more frequently and impose an increasing threat on the …

This paper considers an optimal asset-liability management (ALM) problem for an insurer
under the mean-variance criterion. It is assumed that the value of liabilities is described by a …

This paper studies a robust optimal investment–reinsurance problem for an insurer who
possesses inside information on the financial market and the insurance business under …

This paper investigates a non-zero-sum stochastic differential game between two mean–
variance insurers. These two insurers are concerned about their terminal wealth and the …

This paper investigates a non-zero-sum stochastic differential game between two
competitive CARA insurers, who are concerned about the potential model ambiguity and …

This paper investigates optimal reinsurance under the consideration of contagious
catastrophe claims and secondary claims, and the intensity of the latter is modeled as a shot …

We investigate the reinsurance contract and investment strategy problem between an
insurer and a reinsurer under the continuous-time framework. For the reinsurance contract …

In this paper, a class of reinsurance contracting problems is examined under a continuous-
time principal–agent framework with mean-variance criteria, where a reinsurer and an …