Author

Wenyuan Li

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Preprint Aug 2026

Optimal Life Insurance Decision in Mean-Variance DC Management with Mortality Improvements

This paper studies the investment and insurance strategies of defined-contribution (DC) pension plans under the mean-variance framework. We consider a stochastic environment with time-varying interest rates, contributions, and mortality risk. The DC plan members are allowed to decide their bond and stock allocations, a...

Yueman Feng, Wenyuan Li, Mengyi Xu et al. · 0 citations

Preprint Aug 2026

Non-concave Corporate Management with Option Incentives under Value-at-Risk Constraint

This article studies a dynamic corporate risk management problem by considering the decision-making of risk-averse managers who exert costly effort and select project risk. We study how a Value-at-Risk (VaR) constraint affects managerial decisions and the distribution of firm value when the manager's objective is non-c...

Wenyuan Li, Haoqi Lyu, Pengyu Wei · 0 citations