相关论文: Optimal Time to Change Premiums

In this paper we consider the De Finetti's optimal dividend and capital injection problem under a Markov additive model. We assume that the surplus process before dividends and capital injections follows a spectrally positive Markov…

In this paper we present an information theoretic approach to stochastic optimal control problems for systems with compound Poisson noise. We generalize previous work on information theoretic path integral control to discontinuous dynamics…

Time estimation is a fundamental task that underpins precision measurement, global navigation systems, financial markets, and the organisation of everyday life. Many biological processes also depend on time estimation by nanoscale clocks,…

We present an explicit construction of a Markovian random growth process on integer partitions such that given it visits some level $n$, it passes through any partition $\lambda$ of $n$ with equal probabilities. The construction has…

Random shifting typically appears in credibility models whereas random scaling is often encountered in stochastic models for claim sizes reflecting the time-value property of money. In this article we discuss some aspects of random shifting…

We study a Markov decision problem in which the state space is the set of finite marked point configurations in the plane, the actions represent thinnings, the reward is proportional to the mark sum which is discounted over time, and the…

A possibly time-dependent transition intensity matrix or generator $(Q(t))$ characterizes the law of a Markov jump process (MP). For a time homogeneous MP, the transition probability matrix (TPM) can be expressed as a matrix exponential of…

In this article we consider the surplus process of an insurance company within the Cramer-Lundberg framework. We study the optimal reinsurance strategy and dividend distribution of an insurance company under proportional reinsurance, in…

Major events like natural catastrophes or the COVID-19 crisis have impact both on the financial market and on claim arrival intensities and claim sizes of insurers. Thus, when optimal investment and reinsurance strategies have to be…

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…

This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is reformulated into one with full observations, via a change of…

We consider a two-product inventory system with independent Poisson demands, limited joint storage capacity and partial demand substitution. Replenishment is performed simultaneously for both products and the replenishment time may be fixed…

In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…

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…

We present a multi-agent and mean-field formulation of a game between investors who receive private signals informing their investment decisions and who interact through relative performance concerns. A key tool in our model is a Poisson…

In this paper we consider stopping problems for continuous-time Markov chains under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. More precisely our aim is to maximize the certainty…

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…

We study the problem of designing posted-price mechanisms in order to sell a single unit of a single item within a finite period of time. Motivated by real-world problems, such as, e.g., long-term rental of rooms and apartments, we assume…

A multi-channel queueing system is considered. The arriving requests differ in their type. Requests of each type arrive according to a Poisson process. The number of channels required for service with the rate equal to 1 depends of the…