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q-fin.PM2026
Optimal Life Insurance Decision in Mean-Variance DC Management with Mortality Improvements
Yueman Feng, Wenyuan Li, Mengyi Xu +1
This paper studies the investment and insurance strategies of defined-contribution (DC) pension plans under the mean-variance framework. We consider a stochastic environment with t…
q-fin.MF2026
Non-concave Corporate Management with Option Incentives under Value-at-Risk Constraint
Wenyuan Li, Haoqi Lyu, Pengyu Wei
This article studies a dynamic corporate risk management problem by considering the decision-making of risk-averse managers who exert costly effort and select project risk. We stud…