5 papers
Time-inconsistent reinsurance and investment optimization problem with delay under random risk aversion
Jian-hao Kang, Zhun Gou, Nan-jing Huang
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected ce…
Nash Equilibria of Noncooperative/Mixed Differential Games with Density Constraints in Infinite Dimensions
Zhun Gou, Nan-Jing Huang, Jian-Hao Kang +1
Motivated by Cournot models, this paper proposes novel models of the noncooperative and cooperative differential games with density constraints in infinite dimensions, where market…
Equilibrium reinsurance and investment strategies for insurers with random risk aversion under Heston's SV model
Jian-hao Kang, Zhun Gou, Nan-jing Huang
This study employs expected certainty equivalents to explore the reinsurance and investment issue pertaining to an insurer that aims to maximize the expected utility while being su…
Linear-quadratic Stochastic Stackelberg Differential Games with Affine Constraints
Zhun Gou, Nan-Jing Huang, Xian-Jun Long +1
This paper investigates the non-zero-sum linear-quadratic stochastic Stackelberg differential games with affine constraints, which depend on both the follower's response and the le…
Optimal Control Problems Governed by MFSDEs with multi-defaults
Zhun Gou, Nan-jing Huang, Ming-hui Wang +1
In this paper, we solve an optimal control problem governed by a system of mean-field stochastic differential equations with multiple defaults (MMFSDEs). We transform the global op…