Related papers: Price Optimisation for New Business
Based on the success of recommender systems in e-commerce, there is growing interest in their use in matching markets (e.g., labor). While this holds potential for improving market fluidity and fairness, we show in this paper that naively…
We investigate an optimal reinsurance problem for an insurance company facing a constant fixed cost when the reinsurance contract is signed. The insurer needs to optimally choose both the starting time of the reinsurance contract and the…
We consider a profit maximization problem in an urban mobility on-demand service, of which the operator owns a fleet, provides both exclusive and shared trip services, and dynamically determines prices of offers. With knowledge of the…
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…
In addition to their benefits, optimization systems can have negative economic, moral, social, and political effects on populations as well as their environments. Frameworks like fairness have been proposed to aid service providers in…
We study a stochastic differential game in a ruin theoretic environment. In our setting two insurers compete for market share, which is represented by a joint performance functional. Consequently, one of the insurers strives to maximize it,…
In this paper, we study a retailer price optimization problem which includes the practical constraints: maximum number of price changes and minimum amount of price change (if a change is recommended). We provide a closed-form formula for…
Today mobile users such as drivers are invited by content providers (e.g., Tripadvisor) to sample fresh information of diverse paths to control the age of information (AoI). However, selfish drivers prefer to travel through the shortest…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize her utility from the final wealth when…
We study the problem of option pricing and hedging strategies within the frame-work of risk-return arguments. An economic agent is described by a utility function that depends on profit (an expected value) and risk (a variance). In the…
A sequence of recent studies show that even in the simple setting of a single seller and a single buyer with additive, independent valuations over $m$ items, the revenue-maximizing mechanism is prohibitively complex. This problem has been…
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…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
This paper proposes a theory of pricing premised upon the assumptions that customers dislike unfair prices---those marked up steeply over cost---and that firms take these concerns into account when setting prices. Since they do not observe…
The insurance industry, with its large datasets, is a natural place to use big data solutions. However it must be stressed, that significant number of applications for machine learning in insurance industry, like fraud detection or claim…
When online sellers use AI learning algorithms to automatically compete on e-commerce platforms, there is concern that they will learn to coordinate on higher than competitive prices. However, this concern was primarily raised in…
In this paper we investigate the hedging problem of a unit-linked life insurance contract via the local risk-minimization approach, when the insurer has a restricted information on the market. In particular, we consider an endowment…
We undertake an empirical analysis for the premium data of non-life insurance companies operating in India, in the paradigm of fitting the data for the parametric distribution of Lognormal and the extreme value based distributions of…
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…