5 papers
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…
Lifetime Ruin under High-watermark Fees and Drift Uncertainty
Junbeom Lee, Xiang Yu, Chao Zhou
This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty. Due to…
On the bail-out dividend problem for spectrally negative Markov additive models
Kei Noba, José-Luis Pérez, Xiang Yu
This paper studies the bail-out optimal dividend problem with regime switching under the constraint that the cumulative dividend strategy is absolutely continuous. We confirm the o…
Utility maximization with proportional transaction costs under model uncertainty
Shuoqing Deng, Xiaolu Tan, Xiang Yu
We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a numéraire-based semi-static utility maximization problem with…
On Dynamic Programming Principle for Stochastic Control under Expectation Constraints
Yuk-Loong Chow, Xiang Yu, Chao Zhou
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporat…