Related papers: Time-Consistent Actuarial Valuations
This paper investigates market-consistent valuation of insurance liabilities in the context of, for instance, Solvency II and to some extent IFRS 4. We propose an explicit and consistent framework for the valuation of insurance liabilities…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We consider a renewal-reward process with multivariate rewards. Such a process is constructed from an i.i.d.\ sequence of time periods, to each of which there is associated a multivariate reward vector. The rewards in each time period may…
We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Conditional Value-at-Risk over expected terminal wealth. The…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
Estimation of the complete distribution of a random variable is a useful primitive for both manual and automated decision making. This problem has received extensive attention in the i.i.d. setting, but the arbitrary data dependent setting…
In many iterative optimization methods, fixed-point theory enables the analysis of the convergence rate via the contraction factor associated with the linear approximation of the fixed-point operator. While this factor characterizes the…
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by strictly increasing concave random…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
We propose a new discrete-time online parameter estimation algorithm that combines two different aspects, one that adds momentum, and another that includes a time-varying learning rate. It is well known that recursive least squares based…
A simple proof of the convergence of the variational regularization, with the regularization parameter, chosen by the discrepancy principle, is given for linear operators under suitable assumptions. It is shown that the discrepancy…
The paper studies sub and super-replication price bounds for contingent claims defined on general trajectory based market models. No prior probabilistic or topological assumptions are placed on the trajectory space, trading is assumed to…
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a…
In this paper we provide a theoretical analysis of Variable Annuities with a focus on the holder's right to an early termination of the contract. We obtain a rigorous pricing formula and the optimal exercise boundary for the surrender…
This paper discusses the revenue management (RM) problem to maximize revenue by pricing items or services. One challenge in this problem is that the demand distribution is unknown and varies over time in real applications such as airline…
This paper introduce the notion of output contraction that expands the contraction notion to the time-varying nonlinear systems with output. It pertains to the systems' property that any pair of outputs from the system converge to each…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
We model an informed agent with information about the future value of an asset trying to maximize profits when subjected to a transaction cost as well as a market maker tasked with setting fair transaction prices. In a single auction model,…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…