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