Related papers: Some Mathematical Aspects of Price Optimisation

Buying and selling of data online has increased substantially over the last few years. Several frameworks have already been proposed that study query pricing in theory and practice. The key guiding principle in these works is the notion of…

We propose a new Robust Optimization method for the energy offering problem of a price-taker generating company that wants to build offering curves for its generation units, in order to maximize its profit while taking into account the…

We consider some classical optimization problems in path planning and network transport, and we introduce new auction-based algorithms for their optimal and suboptimal solution. The algorithms are based on mathematical ideas that are…

In continuous-choice settings, consumers decide not only on whether to purchase a product, but also on how much to purchase. Thus, firms optimize a full price schedule rather than a single price point. This paper provides a methodology to…

This paper analyzes optimal insurance design when the insurer internalizes the effect of coverage on third-party service prices. A monopolistic insurer contracts with risk-averse agents who have sequential two-dimensional private…

We revisit the optimal control problem with maximum cost with the objective to provide different equivalent reformulations suitable to numerical methods. We propose two reformulations in terms of extended Mayer problems with constraint, and…

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…

During the life of a wind farm, various types of costs arise. A large share of the operational cost for a wind farm is due to maintenance of the wind turbine equipment; these costs are especially pronounced for offshore wind farms and…

This article studies the problem of modifying the action ordering of a plan in order to optimise the plan according to various criteria. One of these criteria is to make a plan less constrained and the other is to minimize its parallel…

Algorithms for continuous optimization problems have a rich history of design and innovation over the past several decades, in which mathematical analysis of their convergence and complexity properties plays a central role. Besides their…

Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…

This paper investigates the benefits of incorporating diversification effects into the pricing process of insurance policies from two different business lines. The paper shows that, for the same risk reduction, insurers pricing policies…

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…

We initiate the study of computing (near-)optimal contracts in succinctly representable principal-agent settings. Here optimality means maximizing the principal's expected payoff over all incentive-compatible contracts---known in economics…

The net-premium principle is considered to be the most genuine and fair premium principle in actuarial applications. However, an insurance company, applying the net-premium principle, goes bankrupt with probability one in the long run, even…

Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…

In the present work we tackle the problem of finding the optimal price tariff to be set by a risk-averse electric retailer participating in the pool and whose customers are price-sensitive. We assume that the retailer has access to a…

We consider a revenue maximization model, in which a company aims at designing a menu of contracts, given a population of customers. A standard approach consists in constructing an incentive-compatible continuum of contracts, i.e., a menu…

When faced with a new customer, many factors contribute to an insurance firm's decision of what offer to make to that customer. In addition to the expected cost of providing the insurance, the firm must consider the other offers likely to…

This study addresses the interpretable estimation of price bounds in the context of price optimization. In recent years, price-optimization methods have become indispensable for maximizing revenue and profits. However, effective application…