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Finite Horizon Sequential Detection with Exponential Penalty for the Delay
The problem of the sequential detection of a change in the drift of a one-dimensional Brownian motion is considered under the assumptions that the...
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The Expected Discounted Penalty Function in the Generalized Erlang (n) Risk Model with Two-Sided Jumps and a Constant Dividend Barrier
In this paper, the generalized Erlang( n ) risk model with two-sided jumps and a constant dividend barrier is considered. We assume that the downward...
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Direct coupling coherent quantum observers with discounted mean square performance criteria and penalized back-action
This paper is concerned with quantum harmonic oscillators consisting of a quantum plant and a directly coupled coherent quantum observer. We employ...
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Optimal Reinsurance and Dividend Under Model Uncertainty
In this paper, the authors analyze the optimal reinsurance and dividend problem with model uncertainty for an insurer. Here the model uncertainty...
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The Perturbed Compound Poisson Risk Model with Proportional Investment
In this paper, the insurance company considers venture capital and risk-free investment in a constant proportion. The surplus process is perturbed by...
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Optimal Dividend-Penalty Strategies for Insurance Risk Models with Surplus-Dependent Premiums
This paper concerns an optimal dividend-penalty problem for the risk models with surplus-dependent premiums. The objective is to maximize the...
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Testing indexability and computing Whittle and Gittins index in subcubic time
Whittle index is a generalization of Gittins index that provides very efficient allocation rules for restless multi-armed bandits. In this work, we...
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Equilibria in a Dynamic Model of Coordination of Two Firms with Nonfixed Prices
AbstractA model of the interaction between two companies exchanging goods of two kinds is considered. The goods can also be sold on the market. The...
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The Discounted Cost Model
In this chapter, let \(\alpha >0\) be a fixed discount factor. We shall consider the \(\alpha \) -discounted CTMDP problems ( 1.15 ) and...
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Some mathematical properties of the premium function and ruin probability of a generalized Cramér–Lundberg model driven by mixed poisson processes
This paper derives several mathematical properties of the generalized Cramér–Lundberg model proposed by Tomita et al. (J. Appl. Probab. 59 (3):849-859,...
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Learning to Mitigate Epidemic Risks: A Dynamic Population Game Approach
We present a dynamic population game model to capture the behavior of a large population of individuals in presence of an infectious disease or...
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Robust classical-impulse stochastic control problems in an infinite horizon
This paper establishes a general analytical framework for classical and impulse stochastic control problems in the presence of model uncertainty. We...
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Gerber–Shiu Function at Draw-Down Parisian Ruin Time for the Spectrally Negative Lévy Risk Process
Motivated by Baurdoux et al. (J Appl Probab 53:572–584, 2016) and Wang and Zhou (Appl Probab 52:1–33, 2020), in this paper we introduce the general...
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Dividend and Capital Injection Optimization with Transaction Cost for Lévy Risk Processes
The optimal dividends problem has remained an active research field for decades. For an insurance company with reserve modelled by a spectrally...
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Globalized robust Markov perfect equilibrium for discounted stochastic games and its application on intrusion detection in wireless sensor networks: Part I—theory
In this article, we study a discounted stochastic game to model resource optimal intrusion detection in wireless sensor networks. To address the...
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An optimal pricing policy under a Markov chain model
This paper is about an optimal pricing control under a Markov chain model. The objective is to dynamically adjust the product price over time to...
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Optimal dividends with an affine penalty
We find the optimal dividend strategy in two related risk models under an affine penalty for ruin. The first risk model is the classical...
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Stochastic Optimization Methods for the Stochastic Storage Process Control
Many stochastic optimal control problems have analytical solutions up to unknown numerical parameters. We demonstrate this fact with several examples...
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Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random...
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A Bonus-Malus framework for cyber risk insurance and optimal cybersecurity provisioning
The cyber risk insurance market is at a nascent stage of its development, even as the magnitude of cyber losses is significant and the rate of cyber...
