Related papers: The risk model with stochastic premiums and a mult…
In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…
In this paper we introduce a bivariate distribution on $\mathbb{R}_{+} \times \mathbb{N}$ arising from a single underlying Markov jump process. The marginal distributions are phase-type and discrete phase-type distributed, respectively,…
This paper studies optimal insurance design under asymmetric information in a Stackelberg framework, where a monopolistic insurer faces uncertainty about both the insured's risk attitude, captured by a risk-aversion parameter, and the…
This paper explores the application and significance of the second-order Esscher pricing model in option pricing and risk management. We split the study into two main parts. First, we focus on the constant jump diffusion (CJD) case,…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
In a continuous-time economy, this paper formulates the Epstein-Zin preference for discounted dividends received by an investor as an Epstein-Zin singular control utility. We introduce a backward stochastic differential equation with an…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both…
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the…
We study the problem of pricing variable annuities with a multi-layer expense strategy, under which the insurer charges fees from the policyholder's account only when the account value lies in some pre-specified disjoint intervals, where on…
This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…
This paper studies an optimal insurance contracting problem in which the preferences of the decision maker given by the sum of the expected loss and a convex, increasing function of a deviation measure. As for the deviation measure, our…
Considerable literature has been devoted to developing statistical inferential results for risk measures, especially for those that are of the form of L-functionals. However, practical and theoretical considerations have highlighted quite a…
In this paper, we adapt the classic Cram\'er-Lundberg collective risk theory model to a perturbed model by adding a Wiener process to the compound Poisson process, which can be used to incorporate premium income uncertainty, interest rate…
We consider an optimal stochastic control problem in which a firm's cash/surplus process is controlled by dividend payments and capital injections. Stockholders aim to maximize their dividend stream minus the cost of injecting capital, if…
The risk premium is one of main concepts in mathematical finance. It is a measure of the trade-offs investors make between return and risk and is defined by the excess return relative to the risk-free interest rate that is earned from an…
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…
In this paper, we consider an optimal reinsurance problem to minimize the probability of drawdown for the scaled Cram\'er-Lundberg risk model when the reinsurance premium is computed according to the mean-variance premium principle. We…
In recent years, machine learning models have achieved great success at the expense of highly complex black-box structures. By using axiomatic attribution methods, we can fairly allocate the contributions of each feature, thus allowing us…
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic…