Exponential utility
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Exponential utility maximization under model uncertainty for unbounded endowments Open
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 dynamical…
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A class of nonzero-sum investment and reinsurance games subject to systematic risks Open
© 2016 Informa UK Limited, trading as Taylor & Francis Group. Recently, there have been numerous insightful applications of zero-sum stochastic differential games in insurance, as discussed in Liu et al. [Liu, J., Yiu, C. K.-F. & Siu, T. K…
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Robust reinsurance contracts with risk constraint Open
This thesis investigates a class of optimal reinsurance contract problems in continuous time. We use the principal-agent framework to incorporate the bargaining between the insurer and the reinsurer. To this end, we extend the reinsurer's …
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Robust portfolio decisions for financial institutions Open
The present paper aims to study a robust-entropic optimal control problem arising in the management of financial institutions. More precisely, we consider an economic agent who manages the portfolio of a financial firm. The manager has the…
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Risk-Sensitive Reinforcement Learning: A Constrained Optimization Viewpoint. Open
The classic objective in a reinforcement learning (RL) problem is to find a policy that minimizes, in expectation, a long-run objective such as the infinite-horizon discounted or long-run average cost. In many practical applications, optim…
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Determination and estimation of risk aversion coefficients Open
In the paper we consider two types of utility functions often used in portfolio allocation problems, i.e. the exponential utility and the quadratic utility. We link the resulting optimal portfolios obtained by maximizing these utility func…
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Robust optimal investment and reinsurance problems with learning Open
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…
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Uncertainty and inside information Open
In this paper, we study a robust-entropic optimal control problem in the presence of inside information. To be more precise, we consider an economic agent who is allowed to invest her wealth in a classical Black-Scholes type financial mark…
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Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models Open
We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer’s surplus is governe…
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Hedging Under an Expected Loss Constraint with Small Transaction Costs Open
We consider the problem of option hedging in a market with proportional\ntransaction costs. Since super-replication is very costly in such markets, we\nreplace perfect hedging with an expected loss constraint. Asymptotic analysis\nfor smal…
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Optimal reinsurance via BSDEs in a partially observable model with jump clusters Open
We investigate an optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted information about the loss process. We maximise expected exponential utility of terminal wealth …
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Optimal reinsurance-investment problem with dependent risks based on Legendre transform Open
This paper investigates an optimal reinsurance-investment problem in relation to thinning dependent risks. The insurer's wealth process is described by a risk model with two dependent classes of insurance business. The insurer is allowed t…
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Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient Open
We investigate an exponential utility maximization problem for an insurer who faces a stream of non-hedgeable claims. The insurer’s risk aversion coefficient changes in time and depends on the current insurer’s net asset value (the excess …
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Uncertainty and inside information Open
In this paper, we study a robust-entropic optimal control problem in the presence of inside information. To be more precise, we consider an economic agent who is allowed to invest her wealth in a classical Black-Scholes type financial mark…
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Equilibrium investment with random risk aversion Open
We solve the problem of an investor who maximizes utility but faces random preferences. We propose a problem formulation based on expected certainty equivalents. We tackle the time‐consistency issues arising from that formulation by applyi…
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Investment decisions when utility depends on wealth and other attributes Open
The problem of optimal investment under a multivariate utility function allows for an investor
\nto obtain utility not only from wealth, but other (possibly correlated) attributes. In
\nthis paper we implement multivariate mixtures of expo…
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Robust optimal investment and reinsurance of an insurer under Jump-diffusion models Open
This paper studies a robust optimal investment and reinsurance problem under model uncertainty. The insurer's risk process is modeled by a general jump process generated by a marked point process. By transferring a proportion of insurance …
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Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform Open
The present paper investigates an optimal reinsurance-investment problem with Hyperbolic Absolute Risk Aversion (HARA) utility. The paper is distinguished from other literature by taking into account the interests of both an insurer and a …
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Time-Consistent Investment and Consumption Strategies under a General Discount Function Open
In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the …
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Optimal Investment Strategy under the CEV Model with Stochastic Interest Rate Open
Interest rate is an important macrofactor that affects asset prices in the financial market. As the interest rate in the real market has the property of fluctuation, it might lead to a great bias in asset allocation if we only view the int…
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A defined benefit pension plan game with Brownian and Poisson jumps uncertainty Open
In this paper, we study the optimal management of an aggregated pension fund of defined benefit type by means of a differential game with two players, the firm and the participants. We assume that the fund wealth is greater than the actuar…
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Robust optimal excess-of-loss reinsurance and investment problem with <i>p</i>-thinning dependent risks under CEV model Open
This paper is devoted to study a robust optimal excess-of-loss reinsurance and investment problem with p-thinning dependent risks for an ambiguity-averse insurer (AAI). Assume that the AAI's wealth process consists of two p-thinning depend…
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The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model Open
We consider dynamic portfolio selection under ambiguity in the classical multi-period binomial market model. Ambiguity is incorporated in the real-world probability measure through an epsilon-contamination, that gives rise to a completely …
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Pricing in a competitive stochastic insurance market Open
This paper studies a one-period stochastic game to determine the optimal premium strategies of non-life insurers in a competitive market. Specifically, the optimal premium strategy is determined by the Nash equilibrium of an n-player game,…
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An Optimal Investment Strategy for Insurers in Incomplete Markets Open
In this paper we consider the problem of an insurance company where the wealth of the insurer is described by a Cramér-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence …
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How Do Investors Value Sustainability? A Utility-Based Preference Optimization Open
We investigate how an investor’s preference for sustainable assets in the portfolio varies for differing levels of risk aversion. Using a sample of 411 publicly listed firms in the S&P 500, we calculate financial and sustainability returns…
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Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with Delay and Dependent Risks Open
This paper investigates a robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks for an ambiguity-averse insurer (AAI). The AAI’s wealth process is assumed to be two dependent classes of insurance b…
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Pricing Basket Weather Derivatives on Rainfall and Temperature Processes Open
This paper follows an incomplete market pricing approach to analyze the evaluation of weather derivatives and the viability of a weather derivatives market in terms of hedging. A utility indifference method is developed for the specificati…
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Optimal investment and reinsurance of insurers with lognormal stochastic factor model Open
We propose the stochastic factor model of optimal investment and reinsurance of insurers where the wealth processes are described by a bank account and a risk asset for investment and a Cramér-Lundberg process for reinsurance. The optimiza…
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Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal Open
We consider a continuous-time principal--agent model on a finite time horizon, where we look for the existence of an optimal contract that both parties agreed on. Contrary to the mainstream, where the principal is modeled as risk-neutral, …