Related papers: Optimal Insurance to Maximize Exponential Utility …
This paper proposes an algorithm to calculate the maximal probability of unsafety with respect to trajectories of a stochastic process and a hazard set. The unsafe probability estimation problem is cast as a primal-dual pair of…
This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…
This paper is concerned with objective value performance of the scenario approach for robust convex optimization. A novel method is proposed to derive probabilistic bounds for the objective value from scenario programs with a finite number…
Consensus maximization is one of the most widely used robust fitting paradigms in computer vision, and the development of algorithms for consensus maximization is an active research topic. In this paper, we propose an efficient…
In the multi-unit pricing problem, multiple units of a single item are for sale. A buyer's valuation for $n$ units of the item is $v \min \{ n, d\} $, where the per unit valuation $v$ and the capacity $d$ are private information of the…
In information theory, some optimization problems result in convex optimization problems on strictly convex functionals of probability densities. In this note, we study these problems and show conditions of minimizers and the uniqueness of…
The aim of this paper is to introduce an insurance model allowing reinsurance and dividend payment. Our model deals with several homogeneous contracts and takes into account the legislation regarding the provisions to be justified by the…
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…
Inspired by the double-debt problem in Japan where the mortgagor has to pay the remaining loan even if their house was destroyed by a catastrophic event, we model the lender's cash flow, by an exponential functional of a renewal-reward…
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 classify, according to their computational complexity, integer optimization problems whose constraints and objective functions are polynomials with integer coefficients and the number of variables is fixed. For the optimization of 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 inverse optimal transport problem is to find the underlying cost function from the knowledge of optimal transport plans. While this amounts to solving a linear inverse problem, in this work we will be concerned with the nonlinear…
In this paper we examine non-convex dynamic optimization problems with forward looking constraints. We prove that the recursive multiplier formulation in \cite{marcet2019recursive} gives the optimal value if one assumes that the planner has…
We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any…
This paper considers the distributed smooth optimization problem in which the objective is to minimize a global cost function formed by a sum of local smooth cost functions, by using local information exchange. The standard assumption for…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
A simple yet efficient computational algorithm for computing the continuous optimal experimental design for linear models is proposed. An alternative proof the monotonic convergence for $D$-optimal criterion on continuous design spaces are…
This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the investor's cushion, using a binary stochastic benchmark. When the…
We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of…