1 citations · 1 across the 3 of their papers we have counts for
4 papers
Equilibrium Strategies for Singular Dividend Control Problems under the Mean-Variance Criterion
Jingyi Cao, Dongchen Li, Virginia R. Young +1
We revisit the optimal dividend problem of de Finetti by adding a variance term to the usual criterion of maximizing the expected discounted dividends paid until ruin, in a singula…
Equilibrium Mean-Variance Dividend Rate Strategies
Jingyi Cao, Dongchen Li, Virginia R. Young +1
This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin t…
Optimal Insurance to Maximize Exponential Utility when Premium is Computed by a Convex Functional
Jingyi Cao, Dongchen Li, Virginia R. Young +1
We find the optimal indemnity to maximize the expected utility of terminal wealth of a buyer of insurance whose preferences are modeled by an exponential utility. The insurance pre…
Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion
Danping Li, Dongchen Li, Virginia R. Young
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a…