3 papers
math.AP2020
Probabilistic Analysis of Replicator-Mutator Equations
Lijun Bo, Huafu Liao
This paper introduces a general class of Replicator-Mutator equations on a multi-dimensional fitness space. We establish a novel probabilistic representation of weak solutions of t…
q-fin.RM2019
Optimal Dividend Strategy for an Insurance Group with Contagious Default Risk
Zhuo Jin, Huafu Liao, Yue Yang +1
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default cont…
q-fin.MF2018
Optimal Credit Investment and Risk Control for an Insurer with Regime-Switching
Lijun Bo, Huafu Liao, Yongjin Wang
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth acro…