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Management of systemic risk in financial markets is traditionally associated with setting (higher) capital requirements for market participants. There are indications that while equity ratios have been increased massively since the…
As electrical generation becomes more distributed and volatile, and loads become more uncertain, controllability of distributed energy resources (DERs), regardless of their ownership status, will be necessary for grid reliability. Grid…
Using a lifecycle framework with Epstein-Zin (1989) utility and a mixed-integer optimization approach, we compute the optimal age to claim Social Security benefits. Taking advantage of homogeneity, a sufficient statistic is the ratio of…
Many experts believe that AI systems will sooner or later pose uninsurable risks, including existential risks. This creates an extreme judgment-proof problem: few if any parties can be held accountable ex post in the event of such a…
The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have to be estimated by using historical data of the asset…
The optimal age that a retiree claims social security retirement benefits is in general a complicated function of many factors. However, if the beneficiary's finances and health are not the constraining factors, it is possible to formally…
We consider the holder of an individual tontine retirement account, with maximum and minimum withdrawal amounts (per year) specified. The tontine account holder initiates the account at age 65, and earns mortality credits while alive, but…
We introduce a dynamic optimization framework to analyze optimal portfolio allocations within an information driven contagious distress model. The investor allocates his wealth across several stocks whose growth rates and distress…
Adjustable hyperparameters of machine learning models typically impact various key trade-offs such as accuracy, fairness, robustness, or inference cost. Our goal in this paper is to find a configuration that adheres to user-specified limits…
This paper resolves Aaron's social insurance paradox, which suggests that introducing a pay-as-you-go (PAYG) pension system increases welfare when population growth plus average wage growth exceeds interest rates. Using a simplified…
The potential of intelligent reflecting surfaces (IRSs) is investigated as a promising technique for enhancing the energy efficiency of wireless networks. Specifically, the IRS enables passive beamsteering by employing many low-cost…
Intelligent reflecting surface (IRS) is an emerging technique to enhance the wireless communication spectral efficiency with low hardware and energy cost. In this letter, we consider the integration of IRS to an orthogonal frequency…
Researchers and practitioners are increasingly considering reinforcement learning to optimize decisions in complex domains like robotics and healthcare. To date, these efforts have largely utilized expectation-based learning. However,…
We study the optimal investment problem for a homogeneous collective of $n$ individuals investing in a Black-Scholes model subject to longevity risk with Epstein--Zin preferences. %and with preferences given by power utility. We compute…
We propose a modification of the improved cross entropy (iCE) method to enhance its performance for network reliability assessment. The iCE method performs a transition from the nominal density to the optimal importance sampling (IS)…
Intelligent reflecting surfaces (IRSs) have been regarded as a promising enabler for future wireless communication systems. In the literature, IRSs have been considered power-free or assumed to have constant power consumption. However,…
Training machine learning and statistical models often involves optimizing a data-driven risk criterion. The risk is usually computed with respect to the empirical data distribution, but this may result in poor and unstable out-of-sample…
We extend the lifecycle model (LCM) of consumption over a random horizon (a.k.a. the Yaari model) to a world in which (i.) the force of mortality obeys a diffusion process as opposed to being deterministic, and (ii.) a consumer can adapt…
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption…
Self-evolution is indispensable to realize full autonomous driving. This paper presents a self-evolving decision-making system based on the Integrated Decision and Control (IDC), an advanced framework built on reinforcement learning (RL).…