Related papers: Variants of the Smith-Wilson method with a view to…
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…
The iteratively reweighted least squares method (IRLS) is a popular technique used in practice for solving regression problems. Various versions of this method have been proposed, but their theoretical analyses failed to capture the good…
Energy companies need efficient procedures to perform market calibration of stochastic models for commodities. If the Black framework is chosen for option pricing, the bottleneck of the market calibration is the computation of the variance…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
In this paper, we develop a novel class of linear energy-preserving integrating factor methods for the 2D nonlinear Schr\"odinger equation with wave operator (NLSW), combining the scalar auxiliary variable approach and the integrating…
This paper investigates market-consistent valuation of insurance liabilities in the context of, for instance, Solvency II and to some extent IFRS 4. We propose an explicit and consistent framework for the valuation of insurance liabilities…
The paper investigates the weighted sum-rate maximization (WSRM) problem with latent interfering sources outside the known network, whose power allocation policy is hidden from and uncontrollable to optimization. The paper extends the…
A popular version of the finite strain Maxwell fluid is considered, which is based on the multiplicative decomposition of the deformation gradient tensor. The model combines Newtonian viscosity with hyperelasticity of Mooney-Rivlin type; it…
Motivated by two case studies using primary care records from the Clinical Practice Research Datalink, we describe statistical methods that facilitate the analysis of tall data, with very large numbers of observations. Our focus is on…
We study the numerical stability of the Sherman-Morrison-Woodbury (SMW) identity. Let $B = A + UV^T$ and assume $U$ and $V$ both have full-column rank. We explore error bounds for the SMW identity when we are only able to compute…
A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step…
Weighted likelihood, in which one solves Horvitz-Thompson or inverse probability weighted (IPW) versions of the likelihood equations, offers a simple and robust method for fitting models to two phase stratified samples. We consider…
Recently, the Shifted Boundary Method (SBM) was proposed within the class of unfitted (or immersed, or embedded) finite element methods. By reformulating the original boundary value problem over a surrogate (approximate) computational…
In this article, we employ a principal-agent model to analyze optimal contract design in a monopolistic reinsurance market under adverse selection with a continuum of insurer types. Instead of using the classical expected utility framework,…
This article is focused on using a new measurement of risk-- Weighted Value at Risk to develop a new method of constructing initiate from the TVAR solving problem, based on MATLAB software, using the historical simulation method (avoiding…
We consider a two-dimensional optimal dividend problem in the context of two branches of an insurance company with compound Poisson surplus processes dividing claims and premia in some specified proportions. We solve the stochastic control…
Warranty policies play a crucial role in balancing customer satisfaction and cost of the manufacturer. Traditional one-dimensional warranty frameworks, based solely on either age or usage, often fail to capture the joint effect of product…
The aim of this paper is to introduce an insurance model allowing reinsurance and dividend payment. Our model deals with several homogeneous contracts and takes into account the legislation regarding the provisions to be justified by the…
Many economic studies use shift-share instruments to estimate causal effects. Often, all shares need to fulfil an exclusion restriction, making the identifying assumption strict. This paper proposes to use methods that relax the exclusion…
The alternating minimization (AM) method is a fundamental method for minimizing convex functions whose variable consists of two blocks. How to efficiently solve each subproblems when applying the AM method is the most concerned task. In…