相关论文: Asymptotic Analysis of Optimal Diversification in …

Datasets from the fields of bioinformatics, chemometrics, and face recognition are typically characterized by small samples of high-dimensional data. Among the many variants of linear discriminant analysis that have been proposed in order…

We address a long-standing open problem in risk theory, namely the optimal strategy to pay out dividends from an insurance surplus process, if the dividend rate can never be decreased. The optimality criterion here is to maximize the…

Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…

Balancing safety and efficiency when planning in crowded scenarios with uncertain dynamics is challenging where it is imperative to accomplish the robot's mission without incurring any safety violations. Typically, chance constraints are…

We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…

The cataclysmic contagion based calamity -- Covid-19 has shown us a clear need for a comprehensive community based strategy that overcomes the sheer complexity of controlling it and the caveats of current methods. In this regard, as seen in…

We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the…

The optimal allocation of assets has been widely discussed with the theoretical analysis of risk measures, and pessimism is one of the most attractive approaches beyond the conventional optimal portfolio model. The $\alpha$-risk plays a…

We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…

This paper studies a sequential decision problem where payoff distributions are known and where the riskiness of payoffs matters. Equivalently, it studies sequential choice from a repeated set of independent lotteries. The decision-maker is…

An asymptotically optimal sampling-based planner employs sampling to solve robot motion planning problems and returns paths with a cost that converges to the optimal solution cost, as the number of samples approaches infinity. This…

The aims of this study are twofold. First, we consider an optimal risk allocation problem with non-convex preferences. By establishing an infimal representation for distortion risk measures, we give some necessary and sufficient conditions…

Catastrophic losses caused by natural disasters receive a growing concern about the severe rise in magnitude and frequency. The constructions of insurance and financial management scheme become increasingly necessary to diversify the…

The problem of joint detection and lossless source coding is considered. We derive asymptotically optimal decision rules for deciding whether or not a sequence of observations has emerged from a desired information source, and to compress…

We study an optimal dividend problem for an insurer who simultaneously controls investment weights in a financial market, liability ratio in the insurance business, and dividend payout rate. The insurer seeks an optimal strategy to maximize…

We present an approach to the dynamic valuation of exposure risks in the multi-period setting, which incorporates a dynamic and multiple diversification of risks in Pareto optimal sense. This approach extends classical indifference premium…

Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…

Accounting for the annual climatic variability is a well-known issue for simulation-based studies of environmental models. It often requires intensive sampling (e.g., averaging the simulation outputs over many climatic series), which…

This paper studies Pareto-optimal reinsurance design in a monopolistic market with multiple primary insurers and a single reinsurer, all with heterogeneous risk preferences. The risk preferences are characterized by a family of risk…

I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…