Papers

【Preprints】

1. ``Optimal investment and reinsurance strategy for mean-variance insurers in a dependent risk model using a linear Gaussian stochastic factor model", (2025) submitted to Asia-Pacific Financial Markets (Joint work with H.Hanyu and K.Yasuda).

2. ``Mean field and n-insurers games for optimal investment and reinsurance : Power utility case", (2024) submitted to Insurance: Mathematics and Economics  (Joint work with L.H.Sun and K.Yasuda).

3. ``Policy improvement algorithm for an optimal consumption and investment problem under general stochastic factor models", (2023) submitted to Finance and Stochastics (Joint work with K.Yasuda).

4. ``Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case", (2019) preprint (Joint work with S.J.Sheu and L.H.Sun). See arXiv.

【Forthcoming】

1.  ``Optimal consumption and investment problem using a power utility function under a general nonlinear stochastic factor model", (2025) Accepted for publication in SIAM Journal on Control and Optimization.

2. ``Policy improvement algorithm for an optimal consumption and investment problem under a certain nonlinear stochastic factor model", (2024) to be published in ICIAM2023 SPRINGER SERIES ``Recent Developments in Stochastic Numerics and Computational Finance" (Joint work with K.Yasuda).

【Published Papers】

1. ``Optimal investment and reinsurance of insurers with a nonlinear stochastic factor model", (2025) Applied Mathematics and Optimization, 91(3), Paper No. 69.

2. ``Expected power utility maximization of insurers", (2024)  Asia-Pacific Financial Markets, 31(3)  543-577 (Joint work with K.Yasuda).

3. ``A long-term optimal consumption and investment problem with partial information", (2024) Mathematical Control & Related Fields, 14(3) 867-895.

4. ``Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model", (2024)  Mathematical Control & Related Fields, 14(1) 16-50 (Joint work with K.Yasuda).

5. ``Expressions of forward starting option price in Hull-White stochastic volatility model", (2022) Decisions in Economics and Finance,45 101-135 (Joint work with N.L.Liu and K.Yasuda).

6. ``Optimal investment and reinsurance of insurers with lognormal stochastic factor model", (2022) Mathematical Control & Related Fields, 12(2) 531-566 (Joint work with L.H.Sun).

7. ``Risk-sensitive asset management with lognormal interest rates", (2021) Asia-Pacific Financial Markets, 28(2) 169--206.

8. ``Optimal investment-consumption-insurance with partial information", (2020) Japan Journal of Industrial and Applied Mathematics, 37(1) 309--338.

9. ``Risk-sensitive portfolio optimization problem for a large trader with inside information", (2018) Japan Journal of Industrial and Applied Mathematics, 35(3) 1037--1063.

10. ``An optimal consumption problem for general factor models", (2018) SIAM Journal on Control and Optimization, 56(5) 3149--3183 (Joint work with H.Nagai and S.J.Sheu). 

11. ``Expected exponential utility maximization of insurers with a linear Gaussian stochastic factor model", (2018) Scandinavian Actuarial Journal, 2018(5) 357--378 (Joint work with K.Yasuda). 

12. ``An optimal consumption and investment problem with partial information", (2018) Advances in Applied Probability, 50(1) 131--153 (Joint work with S.J.Sheu).

13. ``Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps", (2017) Asia-Pacific Financial Markets, 24(3) 221--252 (Joint work with J.Sekine).

14. ``Risk-sensitive asset management in a general diffusion factor model: Risk-seeking case", (2017)  Japan Journal of Industrial and Applied Mathematics, 34(1) 59--98.

15. ``A market model with medium/long-term effects due to an insider", (2013) Quantitative Finance, 13(3) 421--437 (Joint work with A. Kohatsu-Higa).

16. ``Risk-sensitive asset management with Wishart-autoregressive-type factor model", (2013) Journal of Mathematical Finance, 3(1A) 222--229 (Joint work with J.Sekine).

17. ``On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: II. Verification Theorem", (2012) SIAM Journal on Control and Optimization, 50(4) 2401--2430 (Joint work with S.J.Sheu).

18. ``On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: I. Existence of solution", (2012) SIAM Journal on Control and Optimization, 50(4) 2373--2400 (Joint work with S.J.Sheu).

19. ````Down-side risk" large deviations control problem with Cox-Ingersoll-Ross's interest rates", (2011) Asia-Pacific Financial Markets, 18(1) 69--87.

20. ``Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem", (2010) Applied Mathematics and Optimization, 62(3) 341--380 (Joint work with J.Sekine).

21. ``Asymptotics of the probability minimizing a ``Down-side" risk", (2010) The Annals of Applied Probability, 20(1) 52-89 (Joint work with H.Nagai and S.J.Sheu).

22. ``A risk-sensitive stochastic control approach to an optimal investment problem with partial information", (2006) Finance and Stochastics, 10(3) 395--426 (Joint work with Y.Iida).

23. ``Solving long term optimal investment problems with Cox-Ingersoll-Ross Interest Rates", (2006) Advances in Mathematical Economics, 8 231--255 (Joint work with J.Sekine).

【Proceedings】

1. `` Numerical study for expected power utility maximization of insurers",(2022) Proceedings of the 53th ISCIE International Symposium on Stochastic Systems Theory and Its Applications (electronic proceedings) , Volume 2022, 93--101 (Joint work with K.Yasuda).

2. ``Two examples of an insider with medium/long term effects on the underlying", (2011) Recent Advances in Financial Engineering (Proceedings of KIER-TMU International Workshop on Financial Engineering 2010), 19--42 (Joint work with A. Kohatsu-Higa).

【RIMS Kôkyûroku】

1. ``確率的ファクタモデル下での最適消費・投資問題に対するPIA", (2023) RIMS Kôkyûroku No.2246 (Joint work with K.Yasuda).

2. ``An optimal investment strategy for insurance companies in the presence of a linear Gaussian stochastic factor model", (2017) RIMS Kôkyûroku No.2030 143--150 (Joint work with K.Yasuda).