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math.OC2023
Linear Quadratic Extended Mean Field Games and Control Problems
Alain Bensoussan, Bohan Li, Sheung Chi Phillip Yam
We provide a thorough study of a general class of linear-quadratic extended mean field games and control problems in any dimensions where the mean field terms are allowed to be unb…
math.OC2023
Optimal Monotone Mean-Variance Problem in a Catastrophe Insurance Model
Bohan Li, Junyi Guo, Xiaoqing Liang
This paper explores an optimal investment and reinsurance problem involving both ordinary and catastrophe insurance businesses. The catastrophic events are modeled as following a c…