Related papers: Carbon-Sensitive Fund Construction and Hedging for…
In this research, we present an analysis of the optimal investment, consumption, and life insurance acquisition problem for a wage earner with partial information. Our study considers the non-linear filter case where risky asset prices are…
In a world increasingly dominated by AI applications, an understudied aspect is the carbon and social footprint of these power-hungry algorithms that require copious computation and a trove of data for training and prediction. While…
Death benefits are generally the largest cash flow item that affects financial statements of life insurers where some still do not have a systematic process to track and monitor death claims experience. In this article, we explore data…
We reveal a geometric structure underlying both hedging and investment products. The structure follows from a simple formula expressing investment risks in terms of returns. This informs optimal product designs. Optimal pure hedging…
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
In this paper, we first conduct a study of the portfolio selection problem, incorporating both exogenous (proportional) and endogenous (resulting from liquidity risk, characterized by a stochastic process) transaction costs through the…
Hedge fund managers with the first-loss scheme charge a management fee, a performance fee and guarantee to cover a certain amount of investors' potential losses. We study how parties can choose a mutually preferred first-loss scheme in a…
Wind energy has been integrated into the power system with the hope that it improves the energy efficiency and decreases greenhouse gas emission. However, several studies over the world imply that the result was in the opposite way that was…
We present a method for finding optimal hedging policies for arbitrary initial portfolios and market states. We develop a novel actor-critic algorithm for solving general risk-averse stochastic control problems and use it to learn hedging…
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
This article proposes a fundamental methodological shift in the modelling of policy interventions for sustainability transitions in order to account for complexity (e.g. self-reinforcing mechanism arising from multi-agent interactions) and…
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an It\^o diffusion process. Since risk attitudes at the end of the investment…
Model-based process simulation can be used to derive designs and operating conditions of chemical processes that optimally balance multiple objectives, such as quality, costs, or environmental impacts. This work focuses on identifying…
When evaluating computer vision systems, we are often concerned with performance on a task-specific evaluation measure such as the Intersection-Over-Union score used in the PASCAL VOC image segmentation challenge. Ideally, our systems would…
The transition toward net-zero energy systems requires scalable and cost-effective deployment of Power-to-X technologies, particularly green hydrogen production. Despite increasing investments, a critical research gap remains in dynamically…
Choosing the placement of wildlife crossings (i.e., green bridges) to reconnect animal species' fragmented habitats is among the 17 goals towards sustainable development by the UN. We consider the following established model: Given a graph…
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…
Climate physical risks pose an increasing threat to urban infrastructure, necessitating urgent climate adaptation measures to protect lives and assets. Implementing such measures, including the development of resilient infrastructure and…
We propose a credit risk model for portfolios composed of green and brown loans, extending the ASRF framework via a two-factor copula structure. Systematic risk is modeled using potentially skewed distributions, allowing for asymmetric…