2 papers
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…
math.OC2019
Optimal Entry and Consumption under Habit Formation
Yue Yang, Xiang Yu
This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full marke…