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Since 2016 the operation of insurance companies in the European Union is regulated by the Solvency II directive. According to the EU directive the capital requirement should be calculated as a 99.5\% of Value at Risk. In this study, we…

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both…

Options on baskets (linear combinations) of assets are notoriously challenging to price using even the simplest log-normal continuous-time stochastic models for the individual assets. The paper [5] gives a closed form approximation formula…

Solving large-scale robust portfolio optimization problems is challenging due to the high computational demands associated with an increasing number of assets, the amount of data considered, and market uncertainty. To address this issue, we…

Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for…

We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…

The aim of this contribution is to derive a general matrix formula for the net period premium paid in more than one state. For this purpose we propose to combine actuarial technics with the graph optimization methodology. The obtained…

As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…

The thermal unit commitment (UC) problem has historically been formulated as a mixed integer quadratic programming (MIQP), which is difficult to solve efficiently, especially for large-scale systems. The tighter characteristic reduces the…

Recombinant binomial trees are binary trees where each non-leaf node has two child nodes, but adjacent parents share a common child node. Such trees arise in finance when pricing an option. For example, valuation of a European option can be…

Co-flows model a modern scheduling setting that is commonly found in a variety of applications in distributed and cloud computing. In co-flow scheduling, there are $m$ input ports and $m$ output ports. Each co-flow $j \in J$ can be…

Banks are required to use long-term default probabilities (PDs) of their portfolios when calculating credit risk capital under internal ratings-based (IRB) models. However, the calibration models and historical data typically reflect…

In recent years, quantum computation has been rapidly advancing, driving a technological revolution with significant potential across various sectors, particularly in finance. Despite this, the insurance industry, an essential tool for…

In general insurance, risks from different categories are often modeled independently and their sum is regarded as the total risk the insurer takes on in exchange for a premium. The dependence from multiple risks is generally neglected even…

In this paper we consider a multivariate risk model with common renewal process, while the logarithmic returns of the insurers investment portfolio, are described by a Levy process. In the two main results are established an asymptotic…

In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in…

A multiverse analysis evaluates all combinations of "reasonable" analytic decisions to promote robustness and transparency, but can lead to a combinatorial explosion of analyses to compute. Long delays before assessing results prevent users…

In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…

In this work we will develop a new approach to solve the non repayment problem in microfinance due to the problem of asymmetric information. This approach is based on modeling and simulation of ordinary differential systems where time…

This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of its reserve to pay dividends to its shareholders while…