Related papers: Some Mathematical Aspects of Price Optimisation
We consider a natural generalization of classical scheduling problems in which using a time unit for processing a job causes some time-dependent cost which must be paid in addition to the standard scheduling cost. We study the scheduling…
We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…
The revenue maximization problem of service provider is considered and different pricing schemes to solve the above problem are implemented. The service provider can choose an apt pricing scheme subjected to limited resources, if he knows…
An optimal delivery of arguments is key to persuasion in any debate, both for humans and for AI systems. This requires the use of clear and fluent claims relevant to the given debate. Prior work has studied the automatic assessment of…
We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large financial interest. Such problems are typically…
The emergence of price comparison websites (PCWs) has presented insurers with unique challenges in formulating effective pricing strategies. Operating on PCWs requires insurers to strike a delicate balance between competitive premiums and…
A system of renewal equations on a graph provides a framework to describe the exploitation of a biological resource. In this context, we formulate an optimal control problem, prove the existence of an optimal control and ensure that the…
Price discrimination for maximizing expected profit is a well-studied concept in economics and there are various methods that achieve the maximum given the user type distribution and the budget constraints. In many applications,…
The paper studies pricing of insurance products focusing on the pricing of annuities under uncertainty. This pricing problem is crucial for financial decision making and was studied intensively, however, many open questions still remain. In…
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive…
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…
We consider an outsourcing problem where a software agent procures multiple services from providers with uncertain reliabilities to complete a computational task before a strict deadline. The service consumer requires a procurement strategy…
In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its…
We study revenue optimization pricing algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation. We show that, in the case when both the seller and the buyer…
This paper presents a widely applicable approach to solving (multi-marginal, martingale) optimal transport and related problems via neural networks. The core idea is to penalize the optimization problem in its dual formulation and reduce it…
We propose and implement modern computational methods to enhance catastrophe excess-of-loss reinsurance contracts in practice. The underlying optimization problem involves attachment points, limits, and reinstatement clauses, and the…
In order to determine a suitable automobile insurance policy premium one needs to take into account three factors, the risk associated with the drivers and cars on the policy, the operational costs associated with management of the policy…
We consider an exchange who wishes to set suitable make-take fees to attract liquidity on its platform. Using a principal-agent approach, we are able to describe in quasi-explicit form the optimal contract to propose to a market maker. This…
We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivator behind this numerical method is estimating solutions to Adverse Selection…
We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…