3 papers
math.OC2026
Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty
Tim J. Boonen, Engel John C. Dela Vega, Len Patrick Dominic M. Garces
This paper considers an insurer with two collaborating business lines that faces three critical decisions: (1) dividend payout, (2) reinsurance coverage, and (3) capital injection…
q-fin.PM2025
Variable annuities: A closer look at ratchet guarantees, hybrid contract designs, and taxation
Jennifer Alonso-Garcia, Len Patrick Dominic M. Garces, Jonathan Ziveyi
This paper investigates optimal withdrawal strategies and behavior of policyholders in a variable annuity (VA) contract with a guaranteed minimum withdrawal benefit (GMWB) rider in…
q-fin.PM2024
Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
Len Patrick Dominic M. Garces, Yang Shen
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power ut…