Related papers: Variants of the Smith-Wilson method with a view to…
We formulate and solve a finite horizon full balance sheet two-modes optimal switching problem related to trade-off strategies between expected profit and cost yields. Given the current mode, this model allows for either a switch to the…
Full-Waveform Inversion (FWI) has now become a widely accepted tool to obtain high-resolution velocity models from seismic data. Typically, the velocity model in its discrete form is represented on a rectangular grid, and we solve for the…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
Covariate imbalance between treatment groups makes it difficult to compare cumulative incidence curves in competing risk analyses. In this paper we discuss different methods to estimate adjusted cumulative incidence curves including inverse…
In this paper, a new numerical method based on adaptive gradient descent optimizers is provided for computing the implied volatility from the Black-Scholes (B-S) option pricing model. It is shown that the new method is more accurate than…
Recently, a new quantum model - two-dimensional generalization of the Scarf II - was completely solved analytically by SUSY method for the integer values of parameter. Now, the same integrable model, but with arbitrary values of parameter,…
The EU Solvency II directive recommends insurance companies to pay more attention to the risk management methods. The sense of risk management is the ability to quantify risk and apply methods that reduce uncertainty. In life insurance, the…
A general methodology is introduced for the construction and effective application of control variates to estimation problems involving data from reversible MCMC samplers. We propose the use of a specific class of functions as control…
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force business and tax is established. This relationship holds true…
We consider a nonlinear Klein--Gordon equation in the nonrelativistic limit regime with initial data in the form of a modulated highly oscillatory exponential. In this regime of a small scaling parameter $\varepsilon$, the solution exhibits…
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…
When interest rate dynamics are described by the Libor Market Model as in BGM97, we show how some essential risk-management results can be obtained from the dual of the calibration program. In particular, if the objetive is to maximize…
We consider the problem of computing numerical invariants of programs by abstract interpretation. Our method eschews two traditional sources of imprecision: (i) the use of widening operators for enforcing convergence within a finite number…
Calibrating simulation models that take large quantities of multi-dimensional data as input is a hard simulation optimization problem. Existing adaptive sampling strategies offer a methodological solution. However, they may not sufficiently…
Generalized linear mixed models are useful in studying hierarchical data with possibly non-Gaussian responses. However, the intractability of likelihood functions poses challenges for estimation. We develop a new method suitable for this…
We study the optimal control problem for a weighted mean-field system. A new feature of the control problem is that the coefficients depend on the state process as well as its weighted measure and the control variable. By applying…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this note, we modify the stochastic…
In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from the existing literature by analyzing the issue of funding…