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As life expectancy in Kenya increases, so does the need for efficient pension schemes that can secure a dignified retirement and protect members from old age poverty. Limited research, however, has explored the efficiency of these schemes…
Aging is thought to be a consequence of intrinsic breakdowns in how genetic information is processed. But mounting experimental evidence suggests that aging can be slowed. To help resolve this mystery, I derive a mortality equation which…
We study how storage, operating as a price maker within a market environment, may be optimally operated over an extended period of time. The optimality criterion may be the maximisation of the profit of the storage itself, where this profit…
It is assumed in the evolutionary multi-objective optimization (EMO) community that a final solution is selected by a decision maker from a non-dominated solution set obtained by an EMO algorithm. The number of solutions to be presented to…
This paper addresses the problem of determining the optimal time for an individual to convert retirement savings into a lifetime annuity. The individual invests their wealth into a dividend-paying fund that follows the dynamics of a…
This paper considers finitely many investors who perform mean-variance portfolio selection under relative performance criteria. That is, each investor is concerned about not only her terminal wealth, but how it compares to the average…
We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…
An optimal control problem with heterogeneous servers to minimize the average age of information (AoI) is considered. Each server maintains a separate queue, and each packet arriving to the system is randomly routed to one of the servers.…
In this work, we study age-optimal scheduling with stability constraints in a multiple access channel with two heterogeneous source nodes transmitting to a common destination. The first node is connected to a power grid and it has randomly…
This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insurance constraints confronted by a defined-contribution pension…
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms of the terminal wealth, with a budget constraint. In…
With the increasing of electric vehicle (EV) adoption in recent years, the impact of EV charging activities to the power grid becomes more and more significant. In this article, an optimal scheduling algorithm which combines smart EV…
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…
A mechanism is described that addresses the fundamental trade off between media producers who want to increase reach and consumers who provide attention based on the rate of utility received, and where overreach negatively impacts that…
We study the system-level effects of the introduction of large populations of Electric Vehicles on the power and transportation networks. We assume that each EV owner solves a decision problem to pick a cost-minimizing charge and travel…
Predicting fitness of biologically-active populations, communities or systems in fluctuating environments is a long-standing challenge. Phenotypic plasticity and bet-hedging strategy, two key evolutionary traits living systems harness to…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
The voter model with memory-dependent dynamics is theoretically and numerically studied at the mean-field level. The `internal age', or time an individual spends holding the same state, is added to the set of binary states of the…
This paper considers the problem of isolating a small number of exchange traded funds (ETFs) that suffice to capture the fundamental dimensions of variation in U.S. financial markets. First, the data is fit to a vector-valued Bayesian…
Money-back guarantees (MBGs) are features of pooled retirement income products that address bequest concerns by ensuring the initial premium is returned through lifetime payments or, upon early death, as a death benefit to the estate. This…