Related papers: Intergenerational risk sharing in a Defined Contri…
In this paper, we consider a multi-user multiple-input multiple-output (MIMO) system aided by multiple intelligent reflecting surfaces (IRSs) that are deployed to increase the coverage and, possibly, the rank of the channel. We propose an…
The paper concerns the study of equilibrium points, or steady states, of economic systems arising in modeling optimal investment with \textit{vintage capital}, namely, systems where all key variables (capitals, investments, prices) are…
In this paper, we deal with risk evaluation and risk-averse optimization of complex distributed systems with general risk functionals. We postulate a novel set of axioms for the functionals evaluating the total risk of the system. We derive…
We introduce the problem of assigning resources to improve their utilization. The motivation comes from settings where agents have uncertainty about their own values for using a resource, and where it is in the interest of a group that…
In this paper, we study an intelligent reflecting surface (IRS)-assisted system where a multi-antenna base station (BS) serves a single-antenna user with the help of a multi-element IRS in the presence of interference generated by a…
We consider an economy composed of different risk profile regions wishing to be hedged against a disaster risk using multi-region catastrophe insurance. Such catastrophic events inherently have a systemic component; we consider situations…
Intelligent reflecting surfaces (IRS) consist of configurable meta-atoms, which can alter the wireless propagation environment through design of their reflection coefficients. We consider adaptive IRS control in the practical setting where…
To improve nonparametric estimates of lifetime distributions, we propose using the increasing odds rate (IOR) model as an alternative to other popular, but more restrictive, ``adverse ageing'' models, such as the increasing hazard rate one.…
Market conditions change continuously. However, in portfolio's investment strategies, it is hard to account for this intrinsic non-stationarity. In this paper, we propose to address this issue by using the Inverse Covariance Clustering…
A new class of stochastic processes called independent and periodically identically distributed (i.p.i.d.) processes is defined to capture periodically varying statistical behavior. A novel Bayesian theory is developed for detecting a…
Standard deep reinforcement learning (DRL) aims to maximize expected reward, considering collected experiences equally in formulating a policy. This differs from human decision-making, where gains and losses are valued differently and…
This paper is devoted to invest an optimal investment strategy for a defined-contribution (DC) pension plan under the Ornstein-Uhlenbeck (O-U) process and the loan. By considering risk-free asset, a risky asset driven by O-U process and a…
Poisson subsampling is the default sampling scheme in differentially private machine learning, largely because its unstructured randomness yields tractable privacy amplification analyses. Yet this same randomness introduces substantial…
We propose a data-driven Neural Network (NN) optimization framework to determine the optimal multi-period dynamic asset allocation strategy for outperforming a general stochastic target. We formulate the problem as an optimal stochastic…
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under…
We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Conditional Value-at-Risk over expected terminal wealth. The…
Distributed intelligent reflecting surfaces (IRSs) deployed in multi-user wireless communication systems promise improved system performance. However, the signal-to-interference-plus-noise ratio (SINR) analysis and IRSs optimization in such…
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase…
We consider the optimal risk sharing problem with a continuum of agents, modeled via a non-atomic measure space. Individual preferences are not assumed to be convex. We show the multiplicity of agents induces the value function to be…
As life expectancy in Kenya increases, so does the need for efficient pension schemes that can secure a dignified retirement and protect members from old age poverty. Limited research, however, has explored the efficiency of these schemes…