相关论文: Hedging of unit-linked life insurance contracts wi…

This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortality risk and complete financial market, the optimal solution…

The best known methods for estimating hazard rate functions in survival analysis models are either purely parametric or purely nonparametric. The parametric ones are sometimes too biased while the nonparametric ones are sometimes too…

This paper considers the constrained portfolio optimization in a generalized life-cycle model. The individual with a stochastic income manages a portfolio consisting of stocks, a bond, and life insurance to maximize his or her consumption…

This contribution is concerned with price optimisation of the new business for a non-life product. Due to high competition in the insurance market, non-life insurers are interested in increasing their conversion rates on new business based…

Pairwise similarities and dissimilarities between data points might be easier to obtain than fully labeled data in real-world classification problems, e.g., in privacy-aware situations. To handle such pairwise information, an empirical risk…

We investigate two hedging problems in exponential L\'evy models. First, we provide an explicit representation for the F\"ollmer--Schweizer decomposition of European type options under mild conditions, which implies a closed-form expression…

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended…

This paper investigates the form of optimal reinsurance contracts in the case of clusters of losses. The underlying insured risk is represented by a marked Hawkes process, where the intensity of the jumps depends not only on the occurrence…

To make medium- and long-term insurance products attractive, it is essential to enable participation in stock market returns. However, to eliminate downside risk, guarantees must be included, which naturally leads to the challenge of…

We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as terminal wealth are subject to lower-bound constraints. Assuming…

Frailty models are often the model of choice for heterogeneous survival data. A frailty model contains both random effects and fixed effects, with the random effects accommodating for the correlation in the data. Different estimation…

This paper investigates the dynamic reinsurance design problem under the mean-variance criterion, incorporating heterogeneous beliefs between the insurer and the reinsurer, and introducing an incentive compatibility constraint to address…

Interval censored data commonly arise in medical studies when the event time of interest is only known to lie within an interval. In the presence of a cure subgroup, conventional mixture cure models typically assume a logistic model for the…

In this paper, we prove the global risk optimality of the hedging strategy of contingent claim, which is explicitly (or called semi-explicitly) constructed for an incomplete financial market with external risk factors of non-Gaussian…

This paper investigates a class of optimal control problems associated with Markov processes with local state information. The decision-maker has only local access to a subset of a state vector information as often encountered in…

We consider the problem of link prediction, based on partial observation of a large network, and on side information associated to its vertices. The generative model is formulated as a matrix logistic regression. The performance of the…

In this paper, we study convex risk measures with weak optimal transport penalties. In a first step, we show that these risk measures allow for an explicit representation via a nonlinear transform of the loss function. In a second step, we…

It is well known that the minimal superhedging price of a contingent claim is too high for practical use. In a continuous-time model uncertainty framework, we consider a relaxed hedging criterion based on acceptable shortfall risks.…

This paper proposes a distributionally robust unit commitment approach for microgrids under net load and electricity market price uncertainty. The key thrust of the proposed approach is to leverage the Kullback-Leibler divergence to…

In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…