Related papers: An optimization approach to adaptive multi-dimensi…
We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
We investigate the adaptive robust control framework for portfolio optimization and loss-based hedging under drift and volatility uncertainty. Adaptive robust problems offer many advantages but require handling a double optimization problem…
Chemical multisensor devices need calibration algorithms to estimate gas concentrations. Their possible adoption as indicative air quality measurements devices poses new challenges due to the need to operate in continuous monitoring modes…
The present paper addresses the issue of choosing an optimal dynamic reinsurance policy, which is state-dependent, for an insurance company that operates under multiple insurance business lines. The optimal survival function is…
Supply chain disruptions and volatile demand pose significant challenges to the UK automotive industry, which relies heavily on Just-In-Time (JIT) manufacturing. While qualitative studies highlight the potential of integrating Artificial…
Robotic systems must be able to quickly and robustly make decisions when operating in uncertain and dynamic environments. While Reinforcement Learning (RL) can be used to compute optimal policies with little prior knowledge about the…
Calibration has emerged as a foundational goal in ``trustworthy machine learning'', in part because of its strong decision theoretic semantics. Independent of the underlying distribution, and independent of the decision maker's utility…
With the advancement of autonomous driving, ensuring safety during motion planning and navigation is becoming more and more important. However, most end-to-end planning methods suffer from a lack of safety. This research addresses the…
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are periodically invested and proceed by approximating the…
The classical Cramer-Lundberg model was the first attempt to describe the financial condition of the insurance company. The incomes were approximated by a steady stream of money, insurance payments were not limited and could take any value…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
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 reconsider the study of optimal dividend strategies in the Cram\'er-Lundberg risk model. It is well-known that the solution of the classical dividend problem is in general a band strategy. However, the numerical techniques for the…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
Ecosystem approach to fisheries requires a thorough understanding of fishing impacts on ecosystem status and processes as well as predictive tools such as ecosystem models to provide useful information for management. The credibility of…
This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underreporting by the insureds and competitive pricing between the…
Many safety-critical real-world problems, such as autonomous driving and collaborative robots, are of a distributed multi-agent nature. To optimize the performance of these systems while ensuring safety, we can cast them as distributed…
Modelling all possible life cycles of a company in a highly competitive economic environment gives a significant advantage to the owner in his business investment activities. This article proposes and analyses a dynamic model of a company's…
In this paper, we consider the basic problem of portfolio construction in financial engineering, and analyze how market-based and analytical approaches can be combined to obtain efficient portfolios. As a first step in our analysis, we…