Business and Economics Journal

University of Illinois, Chicago, USA

Publications

• Research   
  Time Inconsistent Stochastic Differential Game: Theory and an Example in Insurance
  Author(s): Hong Mao, Krzysztof Ostaszewski*, Zhongkai Wen and Jin Wang
  
  In this paper, we study the retention and investment strategy in a time-inconsistent model for optimal decision problem under stochastic differential game framework. The investment portfolio includes multi-risky assets, whose returns are assumed to be correlated in a time-varying manner and change cyclically. The claim losses of insurance companies and investment are also assumed to be correlated with each other. Extended HJBI equations result in a solution to the portion of retention and an optimal portfolio with equally weighted allocations of risky assets, which is demonstrated first time theoretically. An optimal control bound is proposed for monitoring and predicting the optimal wealth level. The proposed model is expected to be effective in making decision for investment and reinsurance strategies, controlling, and predicting optimal wealth under uncertain environment. In partic.. Read More»
  DOI: 10.37421/2151-6219.2022.13.366

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