2 citations · 3 across the 9 of their papers we have counts for
4 papers · 1 filter
Robust Optimal Reinsurance, Investment,and Surplus Allocation for Epstein-Zin Preferences
Junyi Guo, Jianxuan Li, Qianqian Zhou
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive pref…
Exploratory mean-variance portfolio selection with Choquet regularizers
Junyi Guo, Xia Han, Hao Wang
In this paper, we study a continuous-time exploratory mean-variance (EMV) problem under the framework of reinforcement learning (RL), and the Choquet regularizers are used to measu…
Optimal investment and reinsurance policies for the Cram{é}r-Lundberg risk model under monotone mean-variance preference
Bohan Li, Junyi Guo, Linlin Tian
In this paper, an optimization problem for the monotone mean-variance(MMV) criterion is considered in the perspective of the insurance company. The MMV criterion is an amended vers…
A Stochastic Maximum Principle for Processes Driven by G-Brownian Motion and Applications to Finance
Zhongyang Sun, Xin Zhang, Junyi Guo
In this paper, we consider the stochastic optimal control problems under model risk caused by uncertain volatilities. To have a mathematical consistent framework we use the notion…