相关论文: Asymptotic Analysis of Optimal Diversification in …

Extreme weather events can have severe impacts on national economies, leading the recovery of low- to middle-income countries to become reliant on foreign financial aid. Foreign aid, however, is slow and uncertain. Therefore, the Sendai…

We consider the problem of optimal risk sharing in a pool of cooperative agents. We analyze the asymptotic behavior of the certainty equivalents and risk premia associated with the Pareto optimal risk sharing contract as the pool expands.…

The escalating frequency and severity of natural disasters, exacerbated by climate change, underscore the critical role of insurance in facilitating recovery and promoting investments in risk reduction. This work introduces a novel Adaptive…

We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and flood. The catastrophe risk could be partly reduced by…

The basic principle of any version of insurance is the paradigm that exchanging risk by sharing it in a pool is beneficial for the participants. In case of independent risks with a finite mean this is the case for risk averse decision…

The dual risk model is a popular model in finance and insurance, which is often used to model the wealth process of a venture capital or high tech company. Optimal dividends have been extensively studied in the literature for a dual risk…

Pooled testing offers an efficient solution to the unprecedented testing demands of the COVID-19 pandemic, although with potentially lower sensitivity and increased costs to implementation in some settings. Assessments of this trade-off…

The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which may arise from heterogeneous sources, as well as the risk…

This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…

In this paper, we study the portfolio optimization problem with general utility functions and when the return and volatility of underlying asset are slowly varying. An asymptotic optimal strategy is provided within a specific class of…

We study Pareto optimality in a decentralized peer-to-peer risk-sharing market where agents' preferences are represented by robust distortion risk measures that are not necessarily convex. We obtain a characterization of Pareto-optimal…

We consider an economy composed of different risk profile regions wishing to be hedged against a disaster risk using multi-region catastrophe insurance. Such catastrophic events inherently have a systemic component; we consider situations…

Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…

Detection of rare traits or diseases in a large population is challenging. Pool testing allows covering larger swathes of population at a reduced cost, while simplifying logistics. However, testing precision decreases as it becomes unclear…

We consider the line planning problem in public transportation, under a robustness perspective. We present a mechanism for robust line planning in the case of multiple line pools, when the line operators have a different utility function…

We consider the problem of accurately measuring the credit risk of a portfolio consisting of loss exposures such as loans, bonds and other financial assets. We are particularly interested in the probability of large portfolio losses. We…

We consider selecting the top-$m$ alternatives from a finite number of alternatives via Monte Carlo simulation. Under a Bayesian framework, we formulate the sampling decision as a stochastic dynamic programming problem, and develop a…

Efforts to apply economic complexity to identify diversification opportunities often rely on diagrams comparing the relatedness and complexity or products, technologies, or industries. Yer, the use of these diagrams is not based on…

All the financial practitioners are working in incomplete markets full of unhedgeable risk-factors. Making the situation worse, they are only equipped with the imperfect information on the relevant processes. In addition to the market risk,…