相关论文: An efficient algorithm for the calculation of rese…

This paper addresses a central challenge of jointly considering shorter-term (e.g. hourly) and longer-term (e.g. yearly) uncertainties in power system planning with increasing penetration of renewable and storage resources. In conventional…

This paper is motivated by computational challenges arising in multi-period valuation in insurance. Aggregate insurance liability cashflows typically correspond to stochastic payments several years into the future. However, insurance…

We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging portfolios can be obtained by a recursive…

We study the problem of fair online resource allocation via non-monetary mechanisms, where multiple agents repeatedly share a resource without monetary transfers. Previous work has shown that every agent can guarantee $1/2$ of their ideal…

We consider decision-making problems that are formulated as non-convex optimization programs where uncertainty enters the constraints through an additive term, independent of the decision variables, and robustness is imposed using a finite…

Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…

Recently, $\alpha$-Rank, a graph-based algorithm, has been proposed as a solution to ranking joint policy profiles in large scale multi-agent systems. $\alpha$-Rank claimed tractability through a polynomial time implementation with respect…

We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and driven by (medical) inflation. Such products are…

We construct fast algorithms for evaluating transforms associated with families of functions which satisfy recurrence relations. These include algorithms both for computing the coefficients in linear combinations of the functions, given the…

Market-based mechanisms such as auctions are being studied as an appropriate means for resource allocation in distributed and mulitagent decision problems. When agents value resources in combination rather than in isolation, they must often…

In the context of life insurance with profit participation, the future discretionary benefits ($FDB$), which are a central item for Solvency~II reporting, are generally calculated by computationally expensive Monte Carlo algorithms. We…

Relational Markov Decision Processes are a useful abstraction for complex reinforcement learning problems and stochastic planning problems. Recent work developed representation schemes and algorithms for planning in such problems using the…

We develop a formalism for insurance profit optimisation for the in-force business constraint by regulatory and risk policy related requirements. This approach is applicable to Life, P&C and Reinsurance businesses and applies in all…

We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…

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 develop an efficient algorithm for weak recovery in a robust version of the stochastic block model. The algorithm matches the statistical guarantees of the best known algorithms for the vanilla version of the stochastic block model. In…

We consider a generalization of the vertex weighted online bipartite matching problem where the offline vertices, called resources, are reusable. In particular, when a resource is matched it is unavailable for a deterministic time duration…

We propose an exact polynomial algorithm for a resource allocation problem with convex costs and constraints on partial sums of resource consumptions, in the presence of either continuous or integer variables. No assumption of strict…

In this paper we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria…

Various control schemes rely on a solution of a convex optimization problem involving a particular robust quadratic constraint, which can be reformulated as a linear matrix inequality using the well-known $\mathcal{S}$-lemma. However, the…