From the 1 of 6 linked papers with an AI index.
6 papers
Equilibrium for regular-singular control under mean-variance criterion: A unified approach via control laws
Zongxia Liang, Xiaodong Luo, Jiayu Zhang
The paper investigates mixed regular‑singular control problems under a mean‑variance objective, introducing a time‑consistent equilibrium concept and providing verification results…
Time-Inconsistent Singular Control Problems with a Running Minimum Process
Rui Dai, Guohui Guan, Zongxia Liang +1
This paper develops a time-inconsistent and path-dependent singular control framework incorporating a running minimum process. We derive a verification theorem that characterizes e…
Optimal Reinsurance under Endogenous Default and Background Risk
Zongxia Liang, Zhaojie Ren, Bin Zou
This paper studies an optimal reinsurance problem for a utility-maximizing insurer, subject to the reinsurer's endogenous default and background risk. An endogenous default occurs…
Optimal Underreporting and Competitive Equilibrium
Zongxia Liang, Jiayu Zhang, Zhou Zhou +1
This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underr…
Mean-Field Games Under Model Uncertainty
Zongxia Liang, Zhou Zhou, Yaqi Zhuang +1
We study discrete-time, finite-state mean-field games (MFGs) under model uncertainty, where agents face ambiguity about the state transition probabilities. Each agent maximizes its…
Reinforcement learning for irreversible reinsurance problems: the randomized singular control approach
Zongxia Liang, Xiaodong Luo, Xiang Yu
This paper studies the continuous-time reinforcement learning for stochastic singular control with the application to an infinite-horizon irreversible reinsurance problem. The sing…