2 papers
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…
q-fin.CP2026
Valuation of variable annuities under the Volterra mortality and rough Heston models
Wenyuan Li, Haoqi Lyu
This paper investigates the valuation of variable annuity contracts with an early surrender option under non-Markovian models. Moreover, policyholders are provided with guaranteed…