Related papers: Pricing variable annuities with multi-layer expens…

In this paper, we analyse some equity-linked contracts that are related to drawdown and drawup events based on assets governed by a geometric spectrally negative L\'evy process. Drawdown and drawup refer to the differences between the…

In this paper we consider the problem of calculating the quantiles of a risky position, the dynamic of which is described as a continuous time regime-switching jump-diffusion, by using Fourier Transform methods. Furthermore, we study a…

This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…

In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and $m$ risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on…

Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…

The paper deals with a generalization of the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy. First of all, we derive piecewise integro-differential equations for the Gerber--Shiu…

The generic case of pensions fund that it is not sufficiently auto financed and it is thoroughly maintained with an external financing effort is considered in this chapter. To represent the unrestricted reserves value process of this kind…

A new jump diffusion regime-switching model is introduced, which allows for linking jumps in asset prices with regime changes. We prove the existence and uniqueness of the solution to the risk-sensitive asset management criterion…

In this paper we propose a semi-analytic approach to pricing American options for time-dependent jump-diffusions models with exponential jumps The idea of the method is to further generalize our approach developed for pricing barrier,…

In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall…

Intelligent access point (AP) deployment remains challenging in next-generation wireless networks due to complex indoor geometries and signal propagation. We firstly benchmark general-purpose large language models (LLMs) as agentic…

In stochastic multi-factor commodity models, it is often the case that futures prices are explained by two latent state variables which represent the short and long term stochastic factors. In this work, we develop the family of stochastic…

This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…

We study the dynamic pricing problem faced by a monopolistic retailer who sells a storable product to forward-looking consumers. In this framework, the two major pricing policies (or mechanisms) studied in the literature are the…

We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…

Usage-based insurance (UBI) uses telematics to align premiums with risk and encourage safe driving. However, deploying these programs is challenging due to heavy-tailed claim costs, nonstationary driver behavior, and limited incentive…

This paper proposes a new family of Tweedie-based ratemaking models that explicitly account for mid-term policy cancellations. Using an automobile insurance dataset from a Canadian insurer, we document a marked difference in claims…

In recent years, a market for mortality derivatives began developing as a way to handle systematic mortality risk, which is inherent in life insurance and annuity contracts. Systematic mortality risk is due to the uncertain development of…

Infrastructure-as-a-Service providers are offering their unused resources in the form of variable-priced virtual machines (VMs), known as "spot instances", at prices significantly lower than their standard fixed-priced resources. To lease…