Related papers: Insurance design and arson-type risks
We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times…
In this paper, we consider the robust optimal reinsurance investment problem of the insurer under the $\alpha$-maxmin mean-variance criterion in the defaultable market. The financial market consists of risk-free bonds, a stock and a…
Internet users such as individuals and organizations are subject to different types of epidemic risks such as worms, viruses, spams, and botnets. To reduce the probability of risk, an Internet user generally invests in traditional security…
We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according to the Maxmin-Expected Utility model of Gilboa and Schmeidler (1989), whereas the insurer is a (risk-averse or…
We study a monopolistic insurance market with hidden information, where the agent's type $\theta$ is private information that is unobservable to the insurer, and it is drawn from a continuum of types. The hidden type affects both the loss…
The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…
Optimizing a building's energy supply design is a task with multiple competing criteria, where not only monetary but also, for example, an environmental objective shall be taken into account. Moreover, when deciding which storages and…
We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the Pareto optimal risk sharing contract as the pool expands.…
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…
As wildfires in the United States are becoming more frequent and severe, mitigating wildfire ignition risk from power line faults is an increasingly crucial effort. Long-term ignition prevention strategies, especially converting overhead…
We study procurement design when the buyer is uncertain about both the value of the good and the seller's cost. The buyer has a conjectured model but does not fully trust it. She first identifies mechanisms that maximize her worst-case…
We consider the design of experiments to evaluate treatments that are administered by self-interested agents, each seeking to achieve the highest evaluation and win the experiment. For example, in an advertising experiment, a company wishes…
Since the discovery of Spectre, a large number of hardware mechanisms for secure speculation has been proposed. Intuitively, more defensive mechanisms are less efficient but can securely execute a larger class of programs, while more…
We consider two insurance companies with endowment processes given by Brownian motions with drift. The firms can collaborate by transfer payments in order to maximize the probability that none of them goes bankrupt. We show that pushing…
Efficient risk transfer is an important condition for ensuring the sustainability of a market according to the established economics literature. In an inefficient market, significant financial imbalances may develop and potentially…
The security features of current digital services are mostly defined and dictated by the service provider (SP). A user can always decline to use a service whose terms do not fulfill the expected criteria, but in many cases, even a simple…
We consider the technologically relevant costs of operating a reliable bit that can be erased rapidly. We find that both erasing and reliability times are non-monotonic in the underlying friction, leading to a trade-off between erasing…
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 this paper we formulate a contract design problem where a primary license holder wishes to profit from its excess spectrum capacity by selling it to potential secondary users/buyers. It needs to determine how to optimally price the…
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…