相关论文: Risk Measures for DC Pension Plan Decumulation
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present…
In this note, we consider infinite horizon optimal control problems with deterministic systems. Since exact solutions to these problems are often intractable, we propose a parallel model predictive control (MPC) method that provides an…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
We propose a novel approach to solving input- and state-constrained parametric mixed-integer optimal control problems using Differentiable Predictive Control (DPC). Our approach follows the differentiable programming paradigm by learning an…
This paper develops a distributed model predictive control (DMPC) strategy for a class of discrete-time linear systems with consideration of globally coupled constraints. The DMPC under study is based on the dual problem concerning all…
We introduce and study the main properties of a class of convex risk measures that refine Expected Shortfall by simultaneously controlling the expected losses associated with different portions of the tail distribution. The corresponding…
The problem of synthesizing stochastic explicit model predictive control policies is known to be quickly intractable even for systems of modest complexity when using classical control-theoretic methods. To address this challenge, we present…
We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
We study optimal risk sharing among $n$ agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk…
This chapter compares different formulations for Economic nonlinear Model Predictive Control (EMPC) which are all based on an established dissipativity assumption on the underlying Optimal Control Problem (OCP). This includes schemes with…
This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…
Reliable operation in power systems is becoming more difficult as the penetration of random renewable resources increases. In particular, operators face the risk of not scheduling enough traditional generators in the times when renewable…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest…
We consider the problem of learning control policies that optimize a reward function while satisfying constraints due to considerations of safety, fairness, or other costs. We propose a new algorithm, Projection-Based Constrained Policy…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
The Expected Shortfall (ES) is one of the most important regulatory risk measures in finance, insurance, and statistics, which has recently been characterized via sets of axioms from perspectives of portfolio risk management and statistics.…
We consider discrete-time dynamics, for cascading failure in DC networks, whose map is composition of failure rule with control actions. Supply-demand at the nodes is monotonically non-increasing under admissible control. Under the failure…
We address the liquidation problem arising from the credit risk management in decentralised finance (DeFi) by formulating it as an ergodic optimal control problem. In decentralised derivatives exchanges, liquidation is triggered whenever…
The Double Linear Policy (DLP) framework guarantees a Robust Positive Expectation (RPE) under optimized constant-weight designs or admissible prespecified time-varying policies. However, the sequential optimization of these time-varying…
Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable…