| Publication | Date of Publication | Type |
|---|
Short communication: mean-stochastic-dominance portfolio selection in continuous time
SIAM Journal on Financial Mathematics | 2024-12-04 | Paper |
| Optimal life insurance and annuity demand with jump diffusion and regime switching | 2024-11-13 | Paper |
| A hybrid deep learning method for finite-horizon mean-field game problems | 2023-10-29 | Paper |
Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
Stochastics | 2023-07-03 | Paper |
Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
Statistical Theory and Related Fields | 2023-03-07 | Paper |
Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
Journal of Industrial and Management Optimization | 2022-11-14 | Paper |
Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
Journal of Industrial and Management Optimization | 2022-09-23 | Paper |
Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
Communications in Statistics: Theory and Methods | 2022-07-22 | Paper |
Backward stochastic Volterra integral equations on Markov chains
Stochastics | 2022-06-30 | Paper |
Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
Communications in Statistics: Theory and Methods | 2022-06-10 | Paper |
Mean-variance portfolio selection with non-negative state-dependent risk aversion
Quantitative Finance | 2021-12-01 | Paper |
Optimal life insurance and annuity demand under hyperbolic discounting when bequests are luxury goods
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
Journal of Industrial and Management Optimization | 2021-09-10 | Paper |
Non-exponential discounting portfolio management with habit formation
Mathematical Control and Related Fields | 2021-05-05 | Paper |
Mean-variance asset-liability management problem under non-Markovian regime-switching models
Applied Mathematics and Optimization | 2020-06-02 | Paper |
Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
Insurance Mathematics & Economics | 2020-03-20 | Paper |
Robust optimal consumption-investment strategy with non-exponential discounting
Journal of Industrial and Management Optimization | 2019-11-21 | Paper |
Portfolio selection with regime-switching and state-dependent preferences
Journal of Computational and Applied Mathematics | 2019-11-05 | Paper |
Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
SIAM Journal on Control and Optimization | 2019-09-30 | Paper |
Optimal dividend policy with liability constraint under a hidden Markov regime-switching model
Journal of Industrial and Management Optimization | 2019-07-25 | Paper |
Optimal debt ratio and dividend strategies for an insurer under a regime-switching model
Stochastic Models | 2019-05-07 | Paper |
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Insurance Mathematics & Economics | 2019-03-28 | Paper |
Minimization of risks in defined benefit pension plan with time-inconsistent preferences
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
Mean-variance portfolio selection under a non-Markovian regime-switching model
Journal of Computational and Applied Mathematics | 2019-01-24 | Paper |
Optimal investment-consumption-insurance with random parameters
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Time-consistent mean-variance asset-liability management with random coefficients
Insurance Mathematics & Economics | 2017-11-23 | Paper |
Time-inconsistent optimal control problems with regime-switching
Mathematical Control and Related Fields | 2017-10-20 | Paper |
Time-inconsistent consumption-investment problem for a member in a defined contribution pension plan
Journal of Industrial and Management Optimization | 2017-06-14 | Paper |
Exponential utility maximization for an insurer with time-inconsistent preferences
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Portfolio optimization in a regime-switching market with derivatives
European Journal of Operational Research | 2016-06-24 | Paper |
Consumption-investment strategies with non-exponential discounting and logarithmic utility
European Journal of Operational Research | 2016-06-23 | Paper |
On dividend strategies with non-exponential discounting
Insurance Mathematics & Economics | 2015-01-28 | Paper |
Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
Insurance Mathematics & Economics | 2014-04-15 | Paper |
| scientific article; zbMATH DE number 6178863 (Why is no real title available?) | 2013-06-20 | Paper |
On the optimal dividend strategy in a regime-switching diffusion model
Advances in Applied Probability | 2012-11-02 | Paper |
Optimal threshold dividend strategies under the compound Poisson model with regime switching
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Optimal surrender strategies for equity-indexed annuity investors with partial information
Statistics & Probability Letters | 2012-08-30 | Paper |
| Optimal dividend strategy under the risk model with stochastic premium | 2012-01-27 | Paper |
Optimal reinsurance and dividend strategies under the Markov-modulated insurance risk model
Stochastic Analysis and Applications | 2011-01-13 | Paper |
Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching
Journal of Optimization Theory and Applications | 2010-12-21 | Paper |
On the Markov-modulated insurance risk model with tax
Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) | 2010-06-21 | Paper |
The Asymptotic Estimate of Ruin Probability Under a Class of Risk Model in the Presence of Heavy Tails
Communications in Statistics: Theory and Methods | 2008-09-24 | Paper |
