Related papers: Optimal Time to Change Premiums
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…
Poisson's equation plays a fundamental role as a tool for performance evaluation and optimization of Markov chains. For continuous-time birth-death chains with possibly unbounded transition and cost rates as addressed herein, when…
A novel sequential change detection problem is proposed, in which the goal is to not only detect but also accelerate the change. Specifically, it is assumed that the sequentially collected observations are responses to treatments selected…
This paper introduces a new class of optimal switching problems, where the player is allowed to switch at a sequence of exogenous Poisson arrival times, and the underlying switching system is governed by an infinite horizon backward…
We consider a general queueing system with price-sensitive customers in which the service provider seeks to balance two objectives, maximizing the average revenue rate and minimizing the average queue length. Customers arrive according to a…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
We consider a diffusion risk model where proportional reinsurance can be bought. In order to stabilise the surplus process, one tries to keep the drawdown, that is the difference of the surplus to its historical maximum, in an interval…
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum,…
In this paper we study the problem of optimal dividend payment strategy which maximizes the expected discounted sum of dividends to a multidimensional set up of n associated insurance companies where the surplus process follows an…
Many discrete-time optimal stopping problems are known to have more tractable limit forms based on a planar Poisson process. Using this tool we find a solution to the optimal stopping problem for i.i.d. sequence of $n$ discrete uniform…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks…
We formulate a dynamic reinsurance problem in which the insurer seeks to control the terminal distribution of its surplus while minimizing the L2-norm of the ceded risk. Using techniques from martingale optimal transport, we show that,…
Important models in insurance, for example the Carm{\'e}r--Lundberg theory and the Sparre Andersen model, essentially rely on the Poisson process. The process is used to model arrival times of insurance claims. This paper extends the…
In this paper, we study a continuous-time discounted jump Markov decision process with both controlled actions and observations. The observation is only available for a discrete set of time instances. At each time of observation, one has to…
In this paper we study the valuation problem of an insurance company by maximizing the expected discounted future dividend payments in a model with partial information that allows for a changing economic environment. The surplus process is…
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability characteristics. We give a partial answer to this question for…
In the classical static optimal reinsurance problem, the cost of capital for the insurer's risk exposure determined by a monetary risk measure is minimized over the class of reinsurance treaties represented by increasing Lipschitz retained…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
The problem of detecting the presence of a signal that can lead to a disaster is studied. A decision-maker collects data sequentially over time. At some point in time, called the change point, the distribution of data changes. This change…