Related papers: On variable annuities with surrender charges
We model learning in a continuous-time Brownian setting where there is prior ambiguity. The associated model of preference values robustness and is time-consistent. It is applied to study optimal learning when the choice between actions can…
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit…
We consider a dynamic pricing problem under unknown demand models. In this problem a seller offers prices to a stream of customers and observes either success or failure in each sale attempt. The underlying demand model is unknown to the…
We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative of the option price itself. A motivation for studying the…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
In this work, we study spectrum auction problem where each request from secondary users has spatial, temporal, and spectral features. With the requests of secondary users and the reserve price of the primary user, our goal is to design…
This paper deals with a one-dimensional wave equation with a nonlinear dynamic boundary condition and a Neumann-type boundary control acting on the other extremity. We consider a class of nonlinear stabilizing feedbacks that only depend on…
We study a sequential estimation problem for an unknown reward in the presence of a random horizon. The reward takes one of two predetermined values which can be inferred from the drift of a Wiener process, which serves as a signal. The…
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…
In an earlier paper (https://doi.org/10.1137/21M1393315), the Switch Point Algorithm was developed for solving optimal control problems whose solutions are either singular or bang-bang or both singular and bang-bang, and which possess a…
Motivated by an analysis on the well-posedness of the initial boundary value problem for the motion of an inextensible hanging string, we first consider an initial boundary value problem for one-dimensional degenerate hyperbolic systems…
In a continuous-time setting where a risk-averse agent controls the drift of an output process driven by a Brownian motion, optimal contracts are linear in the terminal output; this result is well-known in a setting with moral hazard and…
This paper presents a class of Dynamic Multi-Armed Bandit problems where the reward can be modeled as the noisy output of a time varying linear stochastic dynamic system that satisfies some boundedness constraints. The class allows many…
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…
Nowadays many financial derivatives, such as American or Bermudan options, are of early exercise type. Often the pricing of early exercise options gives rise to high-dimensional optimal stopping problems, since the dimension corresponds to…
In this paper we develop a deep learning method for optimal stopping problems which directly learns the optimal stopping rule from Monte Carlo samples. As such, it is broadly applicable in situations where the underlying randomness can…
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of…
This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and the Black-Scholes models. In high dimensions, nonlinear partial differential equation methods for…
Motivated by the fact that humans like some level of unpredictability or novelty, and might therefore get quickly bored when interacting with a stationary policy, we introduce a novel non-stationary bandit problem, where the expected reward…
If a variational problem comes with no boundary conditions prescribed beforehand, and yet these arise as a consequence of the variation process itself, we speak of a free boundary values variational problem. Such is, for instance, the…