The optimal excess-of-loss reinsurance and investment strategies under a constant elasticity
of variance (CEV) model for an insurer are considered in this paper. Assume that the …

We investigate a robust optimal portfolio and reinsurance problem under a Cramér–
Lundberg risk model for an ambiguity-averse insurer (AAI), who worries about uncertainty in …

In this paper we examine the empirical performance of affine jump diffusion models with
stochastic volatility in a time series study of crude oil prices. We compare four different …

We investigate the changes in the volatility regular/inverse leverage and spillover effects of
three crude oil futures markets—WTI, Brent, and Oman—before and after the outbreak of the …

This paper employs the Cross-Quantilogram methodology proposed by Han et al.(2016) to
investigate whether the implied volatility of crude oil (OVX) ameliorates the directional …

This paper offers novel analytical solutions for evaluating perpetual caps and floors on
continuous flows under the constant elasticity of variance (CEV) model. We demonstrate that …

Shipping, although a crucial component of the transportation of commodities worldwide, is
hardly present in the finance literature at this point. The first and foremost goal of this paper …

In this paper, we investigate an optimal investment and excess-of-loss reinsurance problem
with delay and jump–diffusion risk process for an insurer. Specifically, the insurer is allowed …

In this study, considering the paradoxical stochastic characteristics of over-the-counter
markets during a financial crisis, we examine the price of vulnerable options under the …

This article brings new insights on the role played by (implied) volatility on the WTI crude oil
price. An increase in the volatility subsequent to an increase in the oil price (ie inverse …