Related papers: Optimal Dividend Payments for the Piecewise-Determ…
Maximising dividends is one classical stability criterion in actuarial risk theory. Motivated by the fact that dividends are paid periodically in real life, $\textit{periodic}$ dividend strategies were recently introduced (Albrecher, Gerber…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
This paper proposes and studies an optimal dividend problem in which a two-state regime-switching environment affects the dynamics of the company's cash surplus and, as a novel feature, also the bankruptcy level. The aim is to maximize the…
We study defense strategies against reward poisoning attacks in reinforcement learning. As a threat model, we consider attacks that minimally alter rewards to make the attacker's target policy uniquely optimal under the poisoned rewards,…
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The optimal dividend strategy is realised by a Skorokhod…
We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations…
In this paper, we study an optimal reinsurance-investment problem in a risk model with two dependent classes of insurance business, where the two claim number processes are correlated through a common shock component. We assume that the…
In this paper, we consider a static, multi-period newsvendor model under a budget constraint. In the case where the true demand distribution is known, we develop a heuristic algorithm to solve the problem. By comparing this algorithm with…
The paper deals with a generalization of the risk model with stochastic premiums where dependence structures between claim sizes and inter-claim times as well as premium sizes and inter-premium times are modeled by…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
This paper presents the design and analysis of a Hybrid High-Order (HHO) approximation for a distributed optimal control problem governed by the Poisson equation. We propose three distinct schemes to address unconstrained control problems…
This paper deals with the general discounted impulse control problem of a piecewise deterministic Markov process. We investigate a new family of epsilon-optimal strategies. The construction of such strategies is explicit and only…
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a distress-recovery tool. We formulate this as a stochastic…
In this paper, we investigate an optimal investment problem associated with proportional portfolio insurance (PPI) strategies in the presence of jumps in the underlying dynamics. PPI strategies enable investors to mitigate downside risk…
In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing economic environment. The surplus process is…
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random…
In this paper we consider the problem of distributed nonlinear optimisation of a separable convex cost function over a graph subject to cone constraints. We show how to generalise, using convex analysis, monotone operator theory and…
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
This paper investigates a dividend optimization problem with a positive creeping-associated terminal value at ruin for spectrally negative Levy processes. We consider an insurance company whose surplus process evolves according to a…