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.
In general, homeowners refinance in response to a decrease in interest rates, as their borrowing costs are lowered. However, it is worth investigating the effects of refinancing after taking the underlying costs into consideration. Here we develop a synthetic mortgage calculator that sufficiently accounts for such cost…
This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, wh…
Research examines motivations and factors influencing retailers' payment method choices.
problem Understanding motivations and factors affecting retailers' payment method choices.
method Qualitative and quantitative analysis of various factors including regulatory constraints, merchant service providers, and demographic variables.
result Lower interchange fees and regulatory constraints make card payment adoption financially feasible for merchants.
The paper examines clearing payments in financial networks to prevent cascaded defaults.
problem Cascaded defaults in financial networks under the proportionality rule.
method Analysis of clearing model under pro-rated payments, derivation of necessary and sufficient conditions for clearing payments, convex optimization problems for computation.
result Clearing payments can be computed by solving convex optimization problems, reducing overall system loss by lifting the proportionality rule.
Cumulant expansion is used to derive accurate closed-form approximation for Monthly Sum Options in case of constant volatility model. Payoff of Monthly Sum Option is based on sum of N caped (and probably floored) returns. It is noticed, that 1/N can be used as a small parameter in Edgeworth expansion. First …
Study risk-minimizing insurance investments with taxes and expenses.
problem Determining optimal insurance investments in the presence of taxes and expenses.
method Introduced tax- and expense-modified risk-minimization, derived strategies, linked to decompositions, and established equivalence to artificial market approach.
result Equivalence to artificial market approach and consistency with classic risk-minimization.
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are given by discrete time processes. Moreover, between two dividend payments, the st…
The paper analyzes multivariate payments in multi-state life insurance using Markovian state processes.
problem Analyzing joint effects of life annuities and death benefits in a multi-state framework.
method Introduces multivariate present value of future payments, derives differential equations and moment generating functions, and focuses on pair-wise covariances.
result Derives Hattendorff type results for pair-wise covariances in a disability model.
This paper concerns an optimal dividend distribution problem for an insurance company with surplus-dependent premium. In the absence of dividend payments, such a risk process is a particular case of so-called piecewise deterministic Markov processes. The control mechanism chooses the size of dividend payments. The obje…
We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment streams, including continuous payment streams. Balance functions exist and are unique up to an initial choice of deposit and…
This paper concerns an optimal dividend distribution problem for an insurance company whose risk process evolves as a spectrally negative Lévy process (in the absence of dividend payments). The management of the company is assumed to control timing and size of dividend payments. The objective is to maximize the sum of …
We analyze the classical model of compound interest with a constant per-period payment and interest rate. We examine the outstanding balance function as well as the periodic payment function and show that the outstanding balance function is not generally concave in the interest rate, but instead may be initially convex…
We consider the problem of maximizing the discounted utility of dividend payments of an insurance company whose reserves are modeled as a classical Cramér-Lundberg risk process. We investigate this optimization problem under the constraint that dividend rate is bounded. We prove that the value function fulfills the Ham…
This paper provides a framework for modeling the financial system with multiple illiquid assets during a crisis. This work generalizes the paper by Amini, Filipovic and Minca (2016) by allowing for differing liquidation strategies. The main result is a proof of sufficient conditions for the existence of an equilibrium …