A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper examines insurance market dynamics and optimal regulation.
New optimal investment strategies for finance and insurance using Hawkes-based models.
The paper models insurance market dynamics under uncertainty and financial frictions.
Study insurance pricing under correlation ambiguity without increasing prices or reducing utility.
Study of insurer games with model uncertainty in reinsurance and investment strategies.
Study optimal strategies for insurer's dividends, investments, and liabilities.
Study optimizes insurance and investment strategies for risk-averse insurers under ambiguity.
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize her/his expected total d…
Study optimal investment-reinsurance strategies in equity-linked insurance products using Stackelberg game theory.
Study optimal investment and reinsurance for insurance companies in a dynamic market model.
Study optimal investment strategies for an insurer in two currency markets.
Investment and insurance decisions are studied in a model with nonlinear portfolio frictions and background risk.
Study optimizes insurance investment to maximize utility across all capital levels.
This paper analyzes a game between insurer and reinsurer under ambiguity and risk aversion, optimizing reinsurance and investment strategies.
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and life insurance problem with stochastic volatility, that is, we consider a wage earn…
Paper proposes optimal investment and reinsurance strategies considering financial and insurance risks dependence.
This paper studies an optimal investment and risk control problem for an insurer with default contagion and regime-switching. The insurer in our model allocates his/her wealth across multi-name defaultable stocks and a riskless bond under regime-switching risk. Default events have an impact on the distress state of the…
This paper analyzes a hybrid reinsurance and investment game with bounded memory.
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they are willing to pay for i…
Optimal investment and risk control strategies for insurers are derived using a time-consistent approach.
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended) retirement, whichever happens first. In order to hedge the risk of losing income st…
The paper analyzes optimal investment strategies for life insurance contracts using mean-variance optimization.
Study optimal reinsurance and investment to minimize drawdown risk.
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.
Motivated by the AIG bailout case in the financial crisis of 2007-2008, we consider an insurer who wants to maximize the expected utility of the terminal wealth by selecting optimal investment and risk control strategies. The insurer's risk process is modelled by a jump-diffusion process and is negatively correlated wi…
The study designs a green investment fund and a hedging strategy for insurance policies linked to it.
In this paper, we study an optimal excess-of-loss reinsurance and investment problem for an insurer in defaultable market. The insurer can buy reinsurance and invest in the following securities: a bank account, a risky asset with stochastic volatility and a defaultable corporate bond. We discuss the optimal investment …
Optimal insurance and investment strategy under exponential preferences in a correlated market model.
This study examines how risky investments affect insurance capital valuation.
New EPS insurance offers partial protection against superannuation losses.
Investigates RI strategies for life insurers with LRD mortality rates.
In this paper, we consider the problem of optimal investment by an insurer. The insurer invests in a market consisting of a bank account and risky assets. The mean returns and volatilities of the risky assets depend nonlinearly on economic factors that are formulated as the solutions of general stochastic different…
Study optimal reinsurance and investment strategies under common shocks affecting financial and actuarial markets.
In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer's theorem and give en extension to an insurance model with investment in stock market. We then describe how large deviation approximation and importance s…
Study optimal investment and reinsurance strategy for insurers under random coefficients.
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, representing the randomness from the financial market and the insurance claim…
Study optimal investment-reinsurance strategy for insurers under random coefficients and jumps.
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative Lévy insurance model when the reinsurance premium is computed according to the expected value premium principle. Furthe…
The aim of this paper is to solve an optimal investment, consumption and life insurance problem when the investor is restricted to capital guarantee. We consider an incomplete market described by a jump-diffusion model with stochastic volatility. Using the martingale approach, we prove the existence of the optimal stra…
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price follows a correlated diffusion, while the stock of the durable good depreciates dete…
This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortality risk and complete financial market, the optimal solution is given explicitly for contracts with mortality risk using a martingale approac…
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also driven by the environmental process. Our goal is to maximise terminal expected …
We discuss an optimal investment, consumption and insurance problem of a wage earner under inflation. Assume a wage earner investing in a real money account and three asset prices, namely: a real zero coupon bond, the inflation-linked real money account and a risky share described by jump-diffusion processes. Using the…
In this paper, we consider a risk-based optimal investment problem of an insurer in a regime-switching jump diffusion model with noisy memory. Using the model uncertainty modeling, we formulate the investment problem as a zero-sum, stochastic differential delay game between the insurer and the market, with a convex ris…
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment income. The insurance risks are captured via a multidimensional jump-diffusion process with a multivariate compound Poisson process with depe…
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal strategies for exponential utility from terminal wealth, determine the indifference…
Investigates optimal life insurance and annuity decisions in inflationary economies.
We introduce an extension to Merton's famous continuous time model of optimal consumption and investment, in the spirit of previous works by Pliska and Ye, to allow for a wage earner to have a random lifetime and to use a portion of the income to purchase life insurance in order to provide for his estate, while investi…