畑 宏明

Optimal investment and reinsurance of insurers with a nonlinear stochastic factor model 

Applied Mathematics and Optimization 91(3) Paper No. 69 2025年5月12日  査読有り筆頭著者

Policy improvement algorithm for an optimal consumption and investment problem under a certain nonlinear stochastic factor model 

ICIAM2023 SPRINGER SERIES ``Recent Developments in Stochastic Numerics and Computational Finance"(掲載決定) 2024年9月4日  査読有り招待有り筆頭著者

Expected power utility maximization of insurers 

Asia-Pacific Financial Markets 31(3) 543-577 2024年8月21日  査読有り筆頭著者

A long-term optimal consumption and investment problem with partial information 

Mathematical Control and Related Fields 14(3) 867-895 2024年7月  査読有り筆頭著者

Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model 

Mathematical Control & Related Fields 14(1) 16-50 2024年3月  査読有り筆頭著者

Numerical study for expected power utility maximization of insurers 

Proceedings of the 53th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings) 2022 93-101 2022年8月  査読有り筆頭著者

Expressions of forward starting option price in Hull–White stochastic volatility model 

Decisions in Economics and Finance 45 101-135 2022年6月  査読有り筆頭著者

Optimal investment and reinsurance of insurers with lognormal stochastic factor model 

Mathematical Control & Related Fields 12(2) 531-531 2022年6月  査読有り筆頭著者

Risk-sensitive asset management with lognormal interest rates 

Asia-Pacific Financial Markets 28(2) 169-206 2021年5月  査読有り筆頭著者

Optimal investment-consumption-insurance with partial information 

Japan Journal of Industrial and Applied Mathematics 37(1) 309-338 2020年1月  査読有り筆頭著者

Risk-sensitive portfolio optimization problem for a large trader with inside information 

Japan Journal of Industrial and Applied Mathematics 35(3) 1037-1063 2018年10月  査読有り筆頭著者

An optimal consumption problem for general factor models 

SIAM Journal on Control and Optimization 56(5) 3149-3183 2018年9月  査読有り筆頭著者

Expected exponential utility maximization of insurers with a Linear Gaussian stochastic factor model 

Scandinavian Actuarial Journal 2018(5) 357-378 2018年5月28日  査読有り筆頭著者

An optimal consumption and investment problem with partial information 

Advances in Applied Probability 50(1) 131-153 2018年3月1日  査読有り筆頭著者

Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps 

Asia-Pacific Financial Markets 24(3) 221-252 2017年11月  査読有り筆頭著者

An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model 

京都大学数理解析研究所講究録 2030(2030) 143-150 2017年5月  筆頭著者

Risk-sensitive asset management in a general diffusion factor model: risk-seeking case 

Japan Journal of Industrial and Applied Mathematics 34(1) 59-98 2017年4月  査読有り筆頭著者

A market model with medium/long-term effects due to an insider 

Quantitative Finance 13(3) 421-437 2013年3月  査読有り筆頭著者

Risk-sensitive asset management with Wishart-autoregressive-type factor model 

Journal of Mathematical Finance 3(1A) 222-229 2013年3月  査読有り