Economics - Research Publications
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ItemOpen-loop equilibrium strategy for mean-variance portfolio selection: A log-return model(American Institute of Mathematical Sciences, 2021-03-01)This paper investigates a continuous-time mean-variance portfolio selection problem based on a log-return model. The financial market is composed of one risk-free asset and multiple risky assets whose prices are modelled by geometric Brownian motions. We derive a sufficient condition for open-loop equilibrium strategies via forward backward stochastic differential equations (FBSDEs). An equilibrium strategy is derived by solving the system. To illustrate our result, we consider a special case where the interest rate process is described by the Vasicek model. In this case, we also derive the closed-loop equilibrium strategy through the dynamic programming approach.
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ItemOptimal reinsurance under dynamic VaR constraint(Elsevier, 2016-11)This paper deals with the optimal reinsurance strategy from an insurer’s point of view. Our objective is to find the optimal policy that maximises the insurer’s survival probability. To meet the requirement of regulators and provide a tool to risk management, we introduce the dynamic version of Value-at-Risk (VaR), Conditional Value-at-Risk (CVaR) and worst-case CVaR (wcCVaR) constraints in diffusion model and the risk measure limit is proportional to company’s surplus in hand. In the dynamic setting, a CVaR/wcCVaR constraint is equivalent to a VaR constraint under a higher confidence level. Applying dynamic programming technique, we obtain closed form expressions of the optimal reinsurance strategies and corresponding survival probabilities under both proportional and excess-of-loss reinsurance. Several numerical examples are provided to illustrate the impact caused by dynamic VaR/CVaR/wcCVaR limit in both types of reinsurance policy.