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The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal…
This paper investigates market-consistent valuation of insurance liabilities in the context of, for instance, Solvency II and to some extent IFRS 4. We propose an explicit and consistent framework for the valuation of insurance liabilities…
We consider the optimization problem of a multi-resource, multi-unit VCG auction that produces an optimal, i.e., non-approximated, social welfare. We present an algorithm that solves this optimization problem with pseudo-polynomial…
As part of the new regulatory framework of Solvency II, introduced by the European Union, insurance companies are required to monitor their solvency by computing a key risk metric called the Solvency Capital Requirement (SCR). The official…
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this…
The Solvency Capital Requirement (SCR) calculation is computationally intensive, relying on the market-consistent estimation of own funds. While Solvency II prioritizes the direct valuation method, it theoretically yields the same value as…
Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force business and tax is established. This relationship holds true…
This paper sets out a framework for the valuation of insurance liabilities that is intended to be economically realistic, elementary, reasonably practically applicable, and as a special case to provide a basis for the valuation in…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is…
This paper describes a novel approach to planning which takes advantage of decision theory to greatly improve robustness in an uncertain environment. We present an algorithm which computes conditional plans of maximum expected utility. This…
The penetration of renewable energies requires additional storages to deal with intermittency. Accordingly, there is growing interest in evaluating the opportunity cost (usage value) associated with stored energy in large storages, a cost…
Incorporating the AC power flow equations into unit commitment models has the potential to avoid costly corrective actions required by less accurate power flow approximations. However, research on unit commitment with AC power flow…
Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…
One of the major limitations for the employment of model-based planning and scheduling in practical applications is the need of costly re-planning when an incongruence between the observed reality and the formal model is encountered during…
In this paper, we present a new algorithm for computing the linear recurrence relations of multi-dimensional sequences. Existing algorithms for computing these relations arise in computational algebra and include constructing structured…
Using an extended version of the credit risk model CreditRisk+, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss…
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.…
To enhance the reliability of Integrated Energy Systems (IESs) and address the research gap in reliability-based planning methods, this paper proposes a two-stage robust planning model specifically for park-level IESs. The proposed planning…
We design and analyze the performance of a redundancy management mechanism for Peer-to-Peer backup applications. Armed with the realization that a backup system has peculiar requirements -- namely, data is read over the network only during…