118 citations · 344 across the 34 of their papers we have counts for
7 papers · 1 filter
Optimal dividend payout with path-dependent drawdown constraint
Chonghu Guan, Jiacheng Fan, Zuo Quan Xu
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its h…
Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint
Hui Mi, Zuo Quan Xu, Dongfang Yang
This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insuranc…
Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
Panpan Zhang, Zuo Quan Xu
This paper is concerned with zero-sum stochastic linear-quadratic differential games in a regime switching model. The coefficients of the games depend on the underlying noises, so…
Optimal ratcheting of dividend payout under Brownian motion surplus
Chonghu Guan, Zuo Quan Xu
This paper is concerned with a long standing optimal dividend payout problem subject to the so-called ratcheting constraint, that is, the dividend payout rate shall be non-decreasi…
Policy Iteration Reinforcement Learning Method for Continuous-Time Linear-Quadratic Mean-Field Control Problems
Na Li, Xun Li, Zuo Quan Xu
This paper employs a policy iteration reinforcement learning (RL) method to study continuous-time linear-quadratic mean-field control problems in infinite horizon. The drift and di…
Optimal moral-hazard-free reinsurance under extended distortion premium principles
Zhuo Jin, Zuo Quan Xu, Bin Zou
We study an optimal reinsurance problem under a diffusion risk model for an insurer who aims to minimize the probability of lifetime ruin. To rule out moral hazard issues, we only…
Robust utility maximization with intractable claims
Yunhong Li, Zuo Quan Xu, Xun Yu Zhou
We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff fro…