Related papers: Solvency assessment within the ORSA framework: iss…
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen freely. As model settings become high dimensional, Markov…
We propose a method called ideal regression for approximating an arbitrary system of polynomial equations by a system of a particular type. Using techniques from approximate computational algebraic geometry, we show how we can solve ideal…
The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the…
Accurate transfer of information across multiple sectors to enhance model estimation is both significant and challenging in multi-sector portfolio optimization involving a large number of assets in different classes. Within the framework of…
We consider the task of privately obtaining prediction error guarantees in ordinary least-squares regression problems with Gaussian covariates (with unknown covariance structure). We provide the first sample-optimal polynomial time…
A quadratic discrete time probabilistic model, for optimal portfolio selection in (re-)insurance is studied. For positive values of underwriting levels, the expected value of the accumulated result is optimized, under constraints on its…
Portfolio optimization requires sophisticated covariance estimators that are able to filter out estimation noise. Non-linear shrinkage is a popular estimator based on how the Oracle eigenvalues can be computed using only data from the…
The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…
We present a hierarchy of tractable relaxations to obtain lower bounds on the minimum value of a polynomial over a constraint set defined by polynomial equations. In contrast to previous convex relaxation techniques for this problem, our…
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that there are $n$ insurance companies each bearing a certain risk…
After several years of development, the Solvency II-project has finally been set to work in the European Union with the beginning of the year 2016. This has caused massive changes in the regional legislative supervisory acts. One new aspect…
The significance of mortality modeling extends across multiple research areas, ranging from life insurance valuation to optimal lifetime decision-making. Existing approaches, such as mortality laws and factor-based models, often fall short…
Real-world distributed systems and networks are often unreliable and subject to random failures of its components. Such a stochastic behavior affects adversely the complexity of optimization tasks performed routinely upon such systems, in…
We introduce an online mathematical framework for survival analysis, allowing real time adaptation to dynamic environments and censored data. This framework enables the estimation of event time distributions through an optimal second order…
We consider problems with multiple linear objectives and linear constraints and use Adjustable Robust Optimization and Polynomial Optimization as tools to approximate the Pareto set with polynomials of arbitrarily large degree. The main…
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…
Optimization of frame structures is formulated as a~non-convex optimization problem, which is currently solved to local optimality. In this contribution, we investigate four optimization approaches: (i) general non-linear optimization, (ii)…
We consider the problem of determining a sequence of payments among a set of entities that clear (if possible) the liabilities among them. We formulate this as an optimal control problem, which is convex when the objective function is, and…
Optimization problems are ubiquitous in our societies and are present in almost every segment of the economy. Most of these optimization problems are NP-hard and computationally demanding, often requiring approximate solutions for…