Related papers: A BSDE-based approach for the optimal reinsurance …

This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optimization problem and a quadratic backward stochastic…

This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…

We introduce a new and efficient numerical method for multicriterion optimal control and single criterion optimal control under integral constraints. The approach is based on extending the state space to include information on a "budget"…

In this paper, our aim is to investigate necessary conditions for optimal investment. We model the wealth process by Backward differential stochastic equations (shortly for BSDE) with or without constraints on wealth and portfolio process.…

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…

In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum,…

This paper studies a dynamic optimal reinsurance and dividend-payout problem for an insurance company in a finite time horizon. The goal of the company is to maximize the expected cumulative discounted dividend payouts until bankruptcy or…

We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…

In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer…

We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the…

This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov…

In a Markovian framework, we consider the problem of finding the minimal initial value of a controlled process allowing to reach a stochastic target with a given level of expected loss. This question arises typically in approximate hedging…

We study an optimal control problem on infinite time horizon with semimartingale strategies, random coefficients and regime switching. The value function and the optimal strategy can be characterized in terms of three systems of backward…

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the…

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…

This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…

We propose a novel data-driven neural network (NN) optimization framework for solving an optimal stochastic control problem under stochastic constraints. Customized activation functions for the output layers of the NN are applied, which…

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…

We study an optimal allocation problem for a system of independent Brownian agents whose states evolve under a limited shared control. At each time, a unit of resource can be divided and allocated across components to increase their drifts,…

We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the…