Related papers: Robust Hedging of Withdrawal Guarantees (Extended …
Regulatory requirements dictate that financial institutions must calculate risk capital (funds that must be retained to cover future losses) at least annually. Procedures for doing this have been well-established for many years, but recent…
Abstract This paper proposes a novel approach to Bermudan swaption hedging by applying the deep hedging framework to address limitations of traditional arbitrage-free methods. Conventional methods assume ideal conditions, such as zero…
The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory…
Valuing Guaranteed Minimum Withdrawal Benefit (GMWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Yang and Dai, the Black and Scholes framework seems to be inappropriate…
This paper investigates risk measures derived from the expected maximum deficit in a continuous-time framework and develops optimal reserve allocation strategies across multiple lines of business. We formalize the expected maximum deficit…
Mirror Descent is a popular algorithm, that extends Gradients Descent (GD) beyond the Euclidean geometry. One of its benefits is to enable strong convergence guarantees through smooth-like analyses, even for objectives with exploding or…
The objective of this paper is to present general, mechanically verified, refinement rules for reasoning about recursive programs and while loops in the context of concurrency. Unlike many approaches to concurrency, we do not assume that…
Conformal risk control is an extension of conformal prediction for controlling risk functions beyond miscoverage. The original algorithm controls the expected value of a loss that is monotonic in a one-dimensional parameter. Here, we…
Revert protection is a feature provided by some blockchain platforms that prevents users from incurring fees for failed transactions. We study the economic implications and benefits of revert protection in the context of priority gas…
We study the regularity of the stochastic representation of the solution of a class of initial-boundary value problems related to a regime-switching diffusion. This representation is related to the value function of a finite-horizon optimal…
Cyclic debugging requires repeatable executions. As non-deterministic or real-time systems typically do not have the potential to provide this, special methods are required. One such method is replay, a process that requires monitoring of a…
In this paper we discuss the optimal liquidation over a finite time horizon until the exit time. The drift and diffusion terms of the asset price are general functions depending on all variables including control and market regime. There is…
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…
This paper introduces an innovative framework for the periodic evaluation of defined-contribution pension funds. The performance of the pension fund is evaluated not only at retirement, but also within the interim periods. In contrast to…
We introduce a fine-grained framework for uncertainty quantification of predictive models under distributional shifts. This framework distinguishes the shift in covariate distributions from that in the conditional relationship between the…
We study the problem of asset liquidation in financial systems. During financial crises, asset liquidation is often inevitable but can lead to substantial losses if a significant amount of illiquid assets are sold simultaneously at…
The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment…
Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures realisations…
Uncertainties influencing the dynamical systems pose a significant challenge in estimating the achievable performance of a controller aiming to control such uncertain systems. When the uncertainties are of stochastic nature, obtaining hard…
This article is concerned with stability and performance of controlled stochastic processes under receding horizon policies. We carry out a systematic study of methods to guarantee stability under receding horizon policies via appropriate…