Related papers: Optimal Insurance to Maximize Exponential Utility …
This paper investigates the problem of maximizing expected terminal utility in a discrete-time financial market model with a finite horizon under non-dominated model uncertainty. We use a dynamic programming framework together with…
We price a contingent claim liability using the utility indifference argument. We consider an agent with exponential utility, who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the…
The problem of minimizing convex functionals of probability distributions is solved under the assumption that the density of every distribution is bounded from above and below. A system of sufficient and necessary first-order optimality…
Managing unemployment is one of the key issues in social policies. Unemployment insurance schemes are designed to cushion the financial and morale blow of loss of job but also to encourage the unemployed to seek new jobs more pro-actively…
We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…
In this paper, we investigate the network utility maximization problem in FDMA systems. We summarize with a suite of criteria on designing utility functions so as to achieve the global optimization convex. After proposing the general form…
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative L\'{e}vy insurance model when the…
We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…
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…
In an incomplete Brownian-motion market setting, we propose a convex monotonic pricing functional for nonattainable bounded contingent claims which is compatible with prices for attainable claims. The pricing functional is defined as the…
We consider the insurance company as a physical system which is immersed in its environment (the financial market). The insurer company interacts with the market by exchanging the money through the payments for loss claims and receiving the…
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a…
A general condition determining the optimal performance of a complex system has not yet been found and the possibility of its existence is unknown. To contribute in this direction, an optimization algorithm as a complex system is presented.…
This project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two…
We describe a factor-revealing convex optimization problem for the integrality gap of the maximum-cut semidefinite programming relaxation: for each $n \geq 2$ we present a convex optimization problem whose optimal value is the largest…
We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cram\'er risk process, with exponentially distributed claims,…
Tontines were once a popular type of mortality-linked investment pool. They promised enormous rewards to the last survivors at the expense of those died early. And, while this design appealed to the gambling instinc}, it is a suboptimal way…
In this paper, we consider two sequential decision making problems with a convexity structure, namely an energy storage optimization task and a multi-product assembly example. We formulate these problems in the stochastic programming…
We present an approach to the dynamic valuation of exposure risks in the multi-period setting, which incorporates a dynamic and multiple diversification of risks in Pareto optimal sense. This approach extends classical indifference premium…