Related papers: Price Optimisation for New Business
We determine the optimal amount of life insurance for a household of two wage earners. We consider the simple case of exponential utility, thereby removing wealth as a factor in buying life insurance, while retaining the relationship among…
Technology trends as digitalization and Industry 4.0 initiate a growing demand for new business models. Most of this models requires a fundamental shift of operational and financial risks between seller and buyer. A key question is…
Nowadays, cyber threats are considered among the most dangerous risks by top management of enterprises. One way to deal with these risks is to insure them, but cyber insurance is still quite expensive. The insurance fee can be reduced if…
We study the costs and benefits of selling data to a competitor. Although selling all consumers' data may decrease total firm profits, there exist other selling mechanisms -- in which only some consumers' data is sold -- that render both…
Pricing insurance for risks associated with information technology systems presents a complex modelling challenge, combining the disciplines of operations management, security, and economics. This work proposes a socioeconomic modelling…
Algorithms for determining quality/cost/price tradeoffs in saturated markets are considered. A product is modeled by $d$ real-valued qualities whose sum determines the unit cost of producing the product. This leads to the following…
Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expansion as an enlargement of the opportunity set for business…
Cloud computing as a fairly new commercial paradigm, widely investigated by different researchers, already has a great range of challenges. Pricing is a major problem in Cloud computing marketplace; as providers are competing to attract…
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…
This paper introduces a method for pricing insurance policies using market data. The approach is designed for scenarios in which the insurance company seeks to enter a new market, in our case: pet insurance, lacking historical data. The…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the…
Selling a single item to $n$ self-interested buyers is a fundamental problem in economics, where the two objectives typically considered are welfare maximization and revenue maximization. Since the optimal mechanisms are often impractical…
The design of data markets has gained importance as firms increasingly use machine learning models fueled by externally acquired training data. A key consideration is the externalities firms face when data, though inherently freely…
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and…
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 consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost.…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…