Related papers: Intergenerational risk sharing in a Defined Contri…
Intelligent reflecting surfaces (IRSs) are envisioned as a low-cost solution to achieve high spectral and energy efficiency in future communication systems due to their ability to customize wireless propagation environments. Although…
We discuss the role of integrated chance constraints (ICC) as quantitative risk constraints in asset and liability management (ALM) for pension funds. We define two types of ICC: the one period integrated chance constraint (OICC) and the…
With the emergence of precision medicine, estimating optimal individualized decision rules (IDRs) has attracted tremendous attention in many scientific areas. Most existing literature has focused on finding optimal IDRs that can maximize…
Motivated by many application problems, we consider Markov decision processes (MDPs) with a general loss function and unknown parameters. To mitigate the epistemic uncertainty associated with unknown parameters, we take a Bayesian approach…
The aim of this paper is to compare two asset allocation methods for a pension scheme during the decumulation phase in the simplified portfolio selection between a risky asset following a geometric Brownian motion and a riskless asset. The…
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…
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…
The distribution of health care payments to insurance plans has substantial consequences for social policy. Risk adjustment formulas predict spending in health insurance markets in order to provide fair benefits and health care coverage for…
Distributional regression aims at estimating the conditional distribution of a targetvariable given explanatory co-variates. It is a crucial tool for forecasting whena precise uncertainty quantification is required. A popular methodology…
Reinsurance optimization is a cornerstone of solvency and capital management, yet traditional approaches often rely on restrictive distributional assumptions and static program designs. We propose a hybrid framework that combines…
The decumulation of a defined contribution (DC) pension plan is well known to be one of the hardest problems in finance. We model this decumulation challenge as an optimal stochastic control problem. The control problem is solved, at each…
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk…
This paper investigates the interactions among consumption/savings, investment, and retirement choices with income disaster. We consider low-income people who are exposed to income disaster so that they retire involuntarily when income…
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and…
The frequent occurrence of natural disasters has posed significant challenges to society, necessitating the urgent development of effective risk management strategies. From the early informal community-based risk sharing mechanisms to…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
Intelligent reflecting surface (IRS) is a new and revolutionary technology capable of reconfiguring the wireless propagation environment by controlling its massive low-cost passive reflecting elements. Different from prior works that focus…
The Australian Government uses the means-test as a way of managing the pension budget. Changes in Age Pension policy impose difficulties in retirement modelling due to policy risk, but any major changes tend to be `grandfathered' meaning…
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that there are $n$ insurance companies each bearing a certain risk…
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…