Related papers: Time-Consistent Actuarial Valuations
Variational inference has become an increasingly attractive fast alternative to Markov chain Monte Carlo methods for approximate Bayesian inference. However, a major obstacle to the widespread use of variational methods is the lack of…
Model predictive control (MPC) schemes are commonly designed with fixed, i.e., time-invariant, horizon length and cost functions. If no stabilizing terminal ingredients are used, stability can be guaranteed via a sufficiently long horizon.…
Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
In this article, we present several formulas that make it easier to compute the net single premiums when the mortality force over the fractional ages is assumed to be constant (C). More precisely, we compute the moments of the random…
In modern advertising platforms, learning algorithms are deployed by budget-constrained bidders to maximize their accumulated value. These algorithms often offer classical utility guarantees like no-regret, i.e., the agent's utility is at…
Delayed outcomes are ubiquitous in online experimentation. When such a temporal dimension is present, treatment influences not only the outcome value but also the outcome timing, which can move in opposite directions. Motivated by the…
This paper presents closed-form analytical formulas for pricing volatility and variance derivatives with nonlinear payoffs under discrete-time observations. The analysis is based on a probabilistic approach assuming that the underlying…
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent Based Models (HABM). More specifically, we extend the…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
In feature-based dynamic pricing, a seller sets appropriate prices for a sequence of products (described by feature vectors) on the fly by learning from the binary outcomes of previous sales sessions ("Sold" if valuation $\geq$ price, and…
The construction of numerical value scales (or priority values) is a recurrent topic in decision-aiding research. However, in real contexts, uncertainty and limited cognitive precision often lead decision-makers to provide interval…
We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions…
We present stability conditions for deterministic time-varying nonlinear discrete-time systems whose inputs aim to minimize an infinite-horizon time-dependent cost. Global asymptotic and exponential stability properties for general…
We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has not yet been studied previously and reaching valuation when…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…
We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial…
We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic…