Related papers: Some Mathematical Aspects of Price Optimisation
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both…
In many search markets, advance interim contracts include an explicit right to renege, granting one party the option to switch to more attractive matches that emerge later in the search process. This paper studies the design and welfare…
This paper considers an opportunistic scheduling problem over a renewal system. A controller observes a random event at the beginning of each renewal frame and then chooses an action in response to the event, which affects the duration of…
We extend Robust Optimization to fractional programming, where both the objective and the constraints contain uncertain parameters. Earlier work did not consider uncertainty in both the objective and the constraints, or did not use Robust…
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admissible indemnities are such that both the indemnity and…
Autocalibration is known to be an important requirement for insurance premiums since it guarantees that premium income balances corresponding claims, on average, not only at portfolio level but also inside each group paying similar…
In an incomplete market setting, we consider two financial agents, who wish to price and trade a non-replicable contingent claim. Assuming that the agents are utility maximizers, we propose a transaction price which is a result of the…
This paper studies a type of periodic utility maximization for portfolio management in an incomplete market model, where the underlying price diffusion process depends on some external stochastic factors. The portfolio performance is…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
We discuss the computational complexity and feasibility properties of scenario based techniques for uncertain optimization programs. We consider different solution alternatives ranging from the standard scenario approach to recursive…
Comparing, or benchmarking, of optimization algorithms is a complicated task that involves many subtle considerations to yield a fair and unbiased evaluation. In this paper, we systematically review the benchmarking process of optimization…
Portfolio optimization is an important process in finance that consists in finding the optimal asset allocation that maximizes expected returns while minimizing risk. When assets are allocated in discrete units, this is a combinatorial…
We consider the optimal risk transfer from an insurance company to a reinsurer. The problem formulation considered in this paper is closely connected to the optimal portfolio problem in finance, with some crucial distinctions. In…
A reinforcement learning agent tries to maximize its cumulative payoff by interacting in an unknown environment. It is important for the agent to explore suboptimal actions as well as to pick actions with highest known rewards. Yet, in…
With the rapid growth of the cloud computing marketplace, the issue of pricing resources in the cloud has been the subject of much study in recent years. In this paper, we identify and study a new issue: how to price resources in the cloud…
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which frequently encounter difficulties with high-dimensional state…
We initiate a formal study of reproducibility in optimization. We define a quantitative measure of reproducibility of optimization procedures in the face of noisy or error-prone operations such as inexact or stochastic gradient computations…
In this paper we study the pricing and hedging of nonreplicable contingent claims, such as long-term insurance contracts like variable annuities. Our approach is based on the benchmark-neutral pricing framework of Platen (2024), which…
Our goal here is to discuss the pricing problem of European and American options in discrete time using elementary calculus so as to be an easy reference for first year undergraduate students. Using the binomial model we compute the fair…
This paper develops a multi-period optimization framework to design a voluntary renewable program (VRP) for an electric utility company, aiming to maximize total renewable energy deployments. In the business model of VRP, the utility must…