Related papers: Time-Consistent Actuarial Valuations
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…
The inverse first-passage time problem determines a boundary such that the first-passage time of a Wiener process to this boundary has a given distribution. An approximation which is based on the starting value of the boundary to a smooth…
In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…
We investigate the stability of the equilibrium-induced optimal value in one-dimensional diffusion setting for a time-inconsistent stopping problem under non-exponential discounting. We show that the optimal value is semi-continuous with…
We study how we can adapt a predictor to a non-stationary environment with advises from multiple experts. We study the problem under complete feedback when the best expert changes over time from a decision theoretic point of view. Proposed…
Let $(\xi_1, \eta_1)$, $(\xi_2, \eta_2),\ldots$ be independent identically distributed $\mathbb{R}^2$-valued random vectors. We prove a strong law of large numbers, a functional central limit theorem and a law of the iterated logarithm for…
In order to solve an initial value problem by the variational iteration method, a sequence of functions is produced which converges to the solution under some suitable conditions. In the nonlinear case, after a few iterations the terms of…
We study an initial-boundary value problem of variable-order time-fractional diffusion equations in one space dimension. Based on the wellposedness of the proposed model and the smoothing properties of its solutions, which are shown to be…
For statistical inference of means of stationary processes, one needs to estimate their time-average variance constants (TAVC) or long-run variances. For a stationary process, its TAVC is the sum of all its covariances and it is a multiple…
In this paper we propose a framework to analyze iterative first-order optimization algorithms for time-varying convex optimization. We assume that the temporal variability is caused by a time-varying parameter entering the objective, which…
We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk…
This paper quantifies the interplay between the non-arbitrage notion of No-Unbounded-Profit-with-Bounded-Risk (NUPBR hereafter) and additional information generated by a random time. This study complements the one of…
Time-varying pricing tariffs incentivize consumers to shift their electricity demand and reduce costs, but may increase the energy burden for consumers with limited response capability. The utility must thus balance affordability and…
The multidimensional Uncertain Volatility Model leads to robust option pricing problems under joint volatility and correlation uncertainty. Their numerical resolution quickly becomes challenging because the associated stochastic control…
We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and driven by (medical) inflation. Such products are…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
In contextual dynamic pricing, a seller sequentially prices goods based on contextual information. Buyers will purchase products only if the prices are below their valuations. The goal of the seller is to design a pricing strategy that…
This paper presents a discrete--time equity derivatives pricing model with default risk in a no--arbitrage framework. Using the equity--credit reduced form approach where default intensity mainly depends on the firm's equity value, we…
Power law or generalized polynomial regressions with unknown real-valued exponents and coefficients, and weakly dependent errors, are considered for observations over time, space or space--time. Consistency and asymptotic normality of…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…