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

We consider the problem of making a networked system contracting by designing minimal effort local controllers. Our method combines a hierarchical contraction characterization and a matrix-balancing approach to stabilizing a Metzler matrix…

In this paper we consider an infinite time horizon risk-sensitive optimal stopping problem for a Feller--Markov process with an unbounded terminal cost function. We show that in the unbounded case an associated Bellman equation may have…

This paper explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved…

We present an algorithm producing a dynamic non-self-financing hedging strategy in an incomplete market corresponding to investor-relevant risk criterion. The optimization is a two stage process that first determines admissible model…

We consider the mean-variance hedging problem under partial Information. The underlying asset price process follows a continuous semimartingale and strategies have to be constructed when only part of the information in the market is…

Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…

We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant…

Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…

The classical B\"{u}hlmann credibility model has been widely applied to premium estimation for group insurance contracts and other insurance types. In this paper, we develop a robust B\"{u}hlmann credibility model using the winsorized…

Bringing together nonlinear optimization with polyhedral and integrality constraints enables versatile modeling, but poses significant computational challenges. We investigate a method to address these problems based on sequential…

In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal…

High quality risk adjustment in health insurance markets weakens insurer incentives to engage in inefficient behavior to attract lower-cost enrollees. We propose a novel methodology based on Markov Chain Monte Carlo methods to improve risk…

Empirical studies with publicly available life tables identify long-range dependence (LRD) in national mortality data. Although the longevity market is supposed to benchmark against the national force of mortality, insurers are more…

We propose a robust risk measurement approach that minimizes the expectation of overestimation plus underestimation costs. We consider uncertainty by taking the supremum over a collection of probability measures, relating our approach to…

The empirical loss, commonly referred to as the average loss, is extensively utilized for training machine learning models. However, in order to address the diverse performance requirements of machine learning models, the use of the…

In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…

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…

We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…

This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…

In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamic g-expectations which are slight different from conditional g-expectations. In this framework, inspired by [1] and…