Related papers: Robust Hedging of Withdrawal Guarantees (Extended …
Conformal prediction offers a distribution-free framework for constructing prediction sets with coverage guarantees. In practice, multiple valid conformal prediction sets may be available, arising from different models or methodologies.…
We pose the decumulation strategy for a Defined Contribution (DC) pension plan as a problem in optimal stochastic control. The controls are the withdrawal amounts and the asset allocation strategy. We impose maximum and minimum constraints…
Linear Temporal Logic (LTL) is a formal way of specifying complex objectives for planning problems modeled as Markov Decision Processes (MDPs). The planning problem aims to find the optimal policy that maximizes the satisfaction probability…
Conformal prediction is a powerful post-hoc framework for uncertainty quantification that provides distribution-free coverage guarantees. However, these guarantees crucially rely on the assumption of exchangeability. This assumption is…
Ensuring the safety and efficiency of AI systems is a central goal of modern research. Formal verification provides guarantees of neural network robustness, while early exits improve inference efficiency by enabling intermediate…
In this paper, we explore the short- and long-term stability of backed stablecoins offering constant mint and redeem prices to all agents. We refer to such designs as price window-based, since the mint and redeem prices constrain the…
A Hedge Fund Index is very useful for tracking the performance of hedge fund investments, especially the timing of fund redemption. This paper presents a methodology for constructing a hedge fund index that is more like a quantitative fund…
In most real scenarios the construction of a risk-neutral portfolio must be performed in discrete time and with transaction costs. Two human imposed constraints are the risk-aversion and the profit maximization, which together define a…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
We introduce a "high probability" framework for repeated games with incomplete information. In our non-equilibrium setting, players aim to guarantee a certain payoff with high probability, rather than in expected value. We provide a high…
In a casino where arbitrarily small bets are admissible, any betting strategy M can be modified into a savings strategy that, not only is successful on each casino sequence where M is (thus accumulating unbounded wealth inside the casino)…
Refundable income annuities (IA), such as cash-refund and instalment-refund, differ in material ways from the life-only version beloved by economists. In addition to lifetime income they guarantee the annuitant or beneficiary will receive…
A decision-maker faces uncertainty governed by a data-generating process (DGP), which is only known to belong to a set of sequences of independent but possibly non-identical distributions. A robust decision maximizes the expected payoff…
Robust optimization safeguards decisions against uncertainty by optimizing against worst-case scenarios, yet their effectiveness hinges on a prespecified robustness level that is often chosen ad hoc, leading to either insufficient…
An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed…
Seed fundraising for ventures often takes place by sequentially approaching potential contributors, who make observable decisions. The fundraising succeeds when a target number of investments is reached. Though resembling classic…
Providing finite-time probabilistic safety and reach-avoid guarantees is crucial for safety-critical stochastic systems. Existing state-of-the-art barrier methods often rely on a restrictive boundedness assumption for auxiliary functions,…
We consider a second-order equation of Duffing type. Bounds for the derivative of the restoring force are given which ensure the existence and uniqueness of a periodic solution. Furthermore, the unique periodic solution is asymptotically…
To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…