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Minimizing the Probability of Lifetime Exponential Parisian Ruin
We find the optimal investment strategy in a Black–Scholes market to minimize the probability of so-called lifetime exponential Parisian ruin , that...
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Stochastic Optimization Models of Actuarial Mathematics
The paper overviews stochastic optimization models of actuarial mathematics and methods for their solution from the point of view of the methodology...
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Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
The present paper studies time-consistent solutions to an investment-reinsurance problem under a mean-variance framework. The paper is distinguished...
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Incomplete Stochastic Equilibria with Exponential Utilities Close to Pareto Optimality
We study existence and uniqueness of continuous-time stochastic Radner equilibria in an incomplete markets model. An assumption of “smallness” type—...
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RM for Life Insurance and Life Annuities
In the risk identification phase of the RM process, we have to single out risk causes and risk components and, looking at impact on results of...
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Optimal reinsurance and investment policies with the CEV stock market
In this paper, under the criterion of maximizing the expected exponential utility of terminal wealth, we study the optimal proportional reinsurance...
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Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
We explore martingale and convex duality techniques to maximize expected risk-averse utility from consumption in a general multi-dimensional...
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Risk process with a periodic reinsurance: Choosing an optimal reinsurance strategy of a total risk
In this work, we study the optimal risk sharing problem for an insurer between himself and a reinsurer in a dynamical insurance model known as the...
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Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
In this paper, we study the optimal investment and proportional reinsurance strategy for an insurer in a hidden Markov regime-switching environment....
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A comprehensive model for cyber risk based on marked point processes and its application to insurance
After scrutinizing technical, legal, financial, and actuarial aspects of cyber risk, a new approach for modelling cyber risk using marked point...
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Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
In this paper, we introduce the Heston–Hull–White (the hybrid) model in the pension fund management. The optimal investment and benefit payments...
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Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility
This paper solves for the robust time-consistent mean–variance portfolio selection problem on multiple risky assets under a principle component...
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Optimal reinsurance in a compound Poisson risk model with dependence
This paper considers the problem of optimal reinsurance in a compound Poisson risk model with dependent classes of insurance business. It is assumed...
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Risk Assessment and Measures
This chapter offers an overview of fundamental tools for quantifying, measuring, and assessing risks. Univariate distributions are commonly used to...
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Optimal investment and premium control in a nonlinear diffusion model
This paper considers the optimal investment and premium control problem in a diffusion approximation to a non-homogeneous compound Poisson process....
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Modelling election dynamics and the impact of disinformation
Complex dynamical systems driven by the unravelling of information can be modelled effectively by treating the underlying flow of information as the...
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Equilibrium for a Time-Inconsistent Stochastic Linear–Quadratic Control System with Jumps and Its Application to the Mean-Variance Problem
This paper studies a kind of time-inconsistent linear–quadratic control problem in a more general framework with stochastic coefficients and random...
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Optimal mean–variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
In this paper, we study the optimal reinsurance-investment problems in a financial market with jump-diffusion risky asset, where the insurance risk...
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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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Construction of an Economic Balance Sheet and Solvency Capital Requirement Calculation in Solvency 2
The Solvency 2 Directive, adopted in 2009 by the Council of the European Union and the European Parliament, officially became effective on January 1,...