3 papers
math.OC2024
Optimal investment problem in a renewal risk model with generalized Erlang distributed interarrival times
Linlin Tian, Yixuan Tian, Bohan Li +1
This paper explores the optimal investment problem of a renewal risk model with generalized Erlang distributed interarrival times. The phases of the Erlang interarrival time is ass…
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…
math.OC2022
Optimal investment and reinsurance policies for the Cram{é}r-Lundberg risk model under monotone mean-variance preference
Bohan Li, Junyi Guo, Linlin Tian
In this paper, an optimization problem for the monotone mean-variance(MMV) criterion is considered in the perspective of the insurance company. The MMV criterion is an amended vers…