Broadly speaking, my research areas are in actuarial science and financial mathematics. I am also interested in stochastic optimal control theory and its applications in finance and insurance. My research relies largely on stochastic calculus and stochastic control. I have been working on the following topics:
- Asset pricing
- Portfolio optimization
- Optimal insurance and reinsurance
- Regime-switching models
- Longevity risk
- Retirement Planning
- Principal-agent models and contract theory
- Stochastic control and stochastic differential game
- Backward stochastic differential equations
