相关论文: On the Neyman-Pearson problem for law-invariant ri…
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…
We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors…
We introduce a method to numerically compute equilibrium measures for problems with attractive-repulsive power law kernels of the form $K(x-y) = \frac{|x-y|^\alpha}{\alpha}-\frac{|x-y|^\beta}{\beta}$ using recursively generated banded and…
We use the theory of coherent measures to look at the problem of surplus sharing in an insurance business. The surplus share of an insured is calculated by the surplus premium in the contract. The theory of coherent risk measures and the…
We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to…
This paper studies an optimal investment-reinsurance problem for an insurer (she) under the Cram\'er--Lundberg model with monotone mean--variance (MMV) criterion. At any time, the insurer can purchase reinsurance (or acquire new business)…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
We provide a characterization in terms of Fatou closedness for weakly closed monotone convex sets in the space of $\mathcal{P}$-quasisure bounded random variables, where $\mathcal{P}$ is a (possibly non-dominated) class of probability…
We study the behavior of the critical price of an American put option near maturity in the exponential L\'evy model when the underlying stock pays dividends at a continuous rate. In particular, we prove that, in situations where the limit…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We study regularity properties of the dynamic value functions of primal and dual problems of optimal investing for utility functions defined on the whole real line. Relations between decomposition terms of value processes of primal and dual…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the…
We consider the fluid mechanical problem of identifying the critical yield number $Y_c$ of a dense solid inclusion (particle) settling under gravity within a bounded domain of Bingham fluid, i.e. the critical ratio of yield stress to…
Following the foundational work of the Black--Scholes model, extensive research has been developed to price the option by addressing its underlying assumptions and associated pricing biases. This study introduces a novel framework for…
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the…
In this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a convex one, we use a dynamic method from which we derive a…
A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…
In this paper, we explore a static setting for the assessment of risk in the context of mathematical finance and actuarial science that takes into account model uncertainty in the distribution of a possibly infinite-dimensional risk factor.…
In this paper we analyze a dynamic recursive extension of the (static) notion of a deviation measure and its properties. We study distribution invariant deviation measures and show that the only dynamic deviation measure which is law…
We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivator behind this numerical method is estimating solutions to Adverse Selection…