Related papers: Insurance design and arson-type risks

In this paper we consider some insurance policies related to drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric L\'evy process. We consider four contracts, three of which were…

The paper examines how reinsurance can be used to strike a balance between expected profit and VaR/CVaR risk. Conditions making truncated stop loss contracts optimal are derived, and it is argued that those are usually satisfied in…

Highly optimized tolerance is a model of optimization in engineered systems, which gives rise to power-law distributions of failure events in such systems. The archetypal example is the highly optimized forest fire model. Here we give an…

We use the randomization idea and proof techniques from optimal transport to study optimal reinsurance problems. We start by providing conditions for a class of problems that allow us to characterize the support of optimal treaties, and…

The paper studies a dynamic blocking problem, motivated by a model of optimal fire confinement. While the fire can expand with unit speed in all directions, barriers are constructed in real time. An optimal strategy is sought, minimizing…

We study optimal rating design under moral hazard and strategic manipulation. An intermediary observes a noisy indicator of effort and commits to a rating policy that shapes market beliefs and pay. We characterize optimal ratings via…

This paper considers nonlinear regular-singular stochastic optimal control of large insurance company. The company controls the reinsurance rate and dividend payout process to maximize the expected present value of the dividend pay-outs…

We explore the deliberate infusion of ambiguity into the design of contracts. We show that when the agent is ambiguity-averse and hence chooses an action that maximizes their minimum utility, the principal can strictly gain from using an…

As insurers increasingly behave like financial intermediaries and actively participate in capital markets, understanding the dependence structure between insurance and financial risks becomes crucial for insurers' operations. This paper…

We study the role of regulatory inspections in a contract design problem in which a principal interacts separately with multiple agents. Each agent's hidden action includes a dimension that determines whether they undertake an extra costly…

This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…

This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the…

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…

In high-risk environments, traditional indemnity insurance is often unaffordable or ineffective, despite its well-known optimality under expected utility. We compare excess-of-loss indemnity insurance with parametric insurance within a…

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…

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…

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.…

We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…

With electric power infrastructure increasingly susceptible to impacts from climate-driven natural disasters, there is an increasing need for optimization algorithms that determine where to harden the power grid. Prior work has primarily…

Arguments about the safety, security, and correctness of a complex system are often made in the form of an assurance case. An assurance case is a structured argument, often represented with a graphical interface, that presents and supports…