| Publication | Date of Publication | Type |
|---|
Equilibrium portfolio selection under beliefs-dependent utilities
Mathematics of Operations Research | 2026-09-15 | Paper |
Robust portfolio game under relative performance and state-dependent confidence sets
European Journal of Operational Research | 2026-09-07 | Paper |
Optimal VPPI strategy under omega ratio with stochastic benchmark
Annals of Operations Research | 2026-08-25 | Paper |
Equilibrium contribution rate and asset allocation of DB pension plan under the CEV model
Methodology and Computing in Applied Probability | 2026-03-31 | Paper |
Robust mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty
Scandinavian Actuarial Journal | 2026-02-27 | Paper |
Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets
Mathematics and Financial Economics | 2025-10-17 | Paper |
Robust n-agent heterogeneous investment-consumption game under -maxmin mean-variance-utility criterion
Journal of Optimization Theory and Applications | 2025-09-29 | Paper |
The continuous-time pre-commitment KMM problem in incomplete markets
The Annals of Applied Probability | 2025-09-18 | Paper |
Retirement decision with addictive habit persistence in a jump diffusion market
SIAM Journal on Financial Mathematics | 2025-09-17 | Paper |
N-player and mean field games among fund managers considering excess logarithmic returns
Annals of Operations Research | 2025-07-14 | Paper |
Equilibrium portfolio selection for smooth ambiguity preferences
Mathematics of Operations Research | 2025-06-02 | Paper |
Optimal management of DB pension fund under both underfunded and overfunded cases
Scandinavian Actuarial Journal | 2024-08-14 | Paper |
Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
North American Actuarial Journal | 2024-08-05 | Paper |
A Stackelberg reinsurance-investment game under <i>α</i> -maxmin mean-variance criterion and stochastic volatility
Scandinavian Actuarial Journal | 2024-02-26 | Paper |
Optimal annuitization and asset allocation under linear habit formation
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Time-consistent lifetime portfolio selection under smooth ambiguity
Mathematical Control and Related Fields | 2023-06-19 | Paper |
| Equilibrium Portfolio Selection for Smooth Ambiguity Preferences | 2023-02-16 | Paper |
Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in <i>N</i>-Agent and Mean-Field Games
North American Actuarial Journal | 2023-02-10 | Paper |
Optimal management of DC pension fund under the relative performance ratio and VaR constraint
European Journal of Operational Research | 2022-11-17 | Paper |
| The continuous-time pre-commitment KMM problem in incomplete markets | 2022-10-25 | Paper |
Robust equilibrium strategies in a defined benefit pension plan game
Insurance Mathematics & Economics | 2022-09-14 | Paper |
On the analysis of a discrete-time risk model with INAR(1) processes
Scandinavian Actuarial Journal | 2022-06-20 | Paper |
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
Scandinavian Actuarial Journal | 2020-12-16 | Paper |
Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
Methodology and Computing in Applied Probability | 2020-05-04 | Paper |
Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
Journal of Computational and Applied Mathematics | 2020-03-23 | Paper |
Robust optimal reinsurance and investment strategies for an AAI with multiple risks
Insurance Mathematics & Economics | 2019-11-28 | Paper |
Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Insurance Mathematics & Economics | 2018-11-19 | Paper |
A stochastic Nash equilibrium portfolio game between two DC pension funds
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Optimal management of DC pension plan under loss aversion and value-at-risk constraints
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Insurance Mathematics & Economics | 2014-09-22 | Paper |
