Related papers: Insurance design and arson-type risks

Based on a point of view that solvency and security are first, this paper considers regular-singular stochastic optimal control problem of a large insurance company facing positive transaction cost asked by reinsurer under solvency…

In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…

We consider the robust contract design problem when the principal only has limited information about the actions the agent can take. The principal evaluates a contract according to its worst-case performance caused by the uncertain action…

As climate change increases the risk of large-scale wildfires, wildfire ignitions from electric power lines are a growing concern. To mitigate the wildfire ignition risk, many electric utilities de-energize power lines to prevent electric…

Wildfire risk poses a growing challenge for electric utilities, as powerline failures can ignite wildfires while large fires can disrupt grid operations. Utilities increasingly rely on operational interventions such as Public Safety Power…

Consider two insurance companies (or two branches of the same company) that receive premiums at different rates and then split the amount they pay in fixed proportions for each claim (for simplicity we assume that they are equal). We model…

We propose a model in which, in exchange to the payment of a fixed transaction cost, an insurance company can choose the retention level as well as the time at which subscribing a perpetual reinsurance contract. The surplus process of the…

We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that,…

In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a…

Every time drivers take to the road, and with each mile that they drive, exposes themselves and others to the risk of an accident. Insurance premiums are only weakly linked to mileage, however, and have lump-sum characteristics largely. The…

In an effort to reduce power system-caused wildfires, utilities carry out public safety power shutoffs (PSPS) in which portions of the grid are de-energized to mitigate the risk of ignition. The decision to call a PSPS must balance reducing…

Engineered and infrastructure systems deteriorate (e.g., loss capacity) as a result of adverse environmental or external conditions. Modeling deterioration is essential to define optimum design strategies and inspection and maintenance…

We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by…

In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance…

We study a robust contract design problem with deferred inspection, in which a principal allocates a scarce resource to an agent, observes the agent's realized outcome ex post at negligible cost, and conditions transfers on this information…

Model-based process simulation can be used to derive designs and operating conditions of chemical processes that optimally balance multiple objectives, such as quality, costs, or environmental impacts. This work focuses on identifying…

Balancing safety and efficiency when planning in crowded scenarios with uncertain dynamics is challenging where it is imperative to accomplish the robot's mission without incurring any safety violations. Typically, chance constraints are…

This note presents a kind of the strong law of large numbers for an insurance risk caused by a single catastrophic event rather than by an accumulation of independent and identically distributed risks. We derive this result by a large…

We introduce a way to compare actions in decision problems. One action is safer than another if the set of beliefs at which the decision-maker prefers the safer action expands as the decision-maker becomes more risk averse. We provide a…

In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurers…