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.
Paper proposes a method to estimate project cost contingency reserves considering various types of uncertainty.
problem Inaccurate estimation of project cost contingency reserves due to ignoring different types of uncertainty.
method Quantitative determination of project cost contingency reserves using Monte Carlo Simulation considering aleatoric, stochastic, and epistemic uncertainties.
result The proposed method provides more accurate contingency reserves that align with actual project risks.
This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a natural resource from a reserve with finite capacity, and sells it in the market at a …
We examine the problem of dynamic reserving for risk in multiple currencies under a general coherent risk measure. The reserver requires to hedge risk in a time-consistent manner by trading in baskets of currencies. We show that reserving portfolios in multiple currencies V are time-consistent when (and only…
Optimal control of reserve assets for stablecoins to maintain peg stability.
problem Balancing immediate liquidity and yield on reserve assets for stablecoin peg maintenance.
method Developed a stochastic model predictive control framework with moment closure for event intensities, incorporating a soft-thresholding structure for rebalancing.
result Optimal policy shifts predictably toward cash as expected outflows intensify or windows lengthen, preserving most bill carry in calm markets and quickly building cash during stress.
We consider infinite dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the super-replication cost. Then, we show the existence of optimal strategies for investors maximizing their e…
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of N banks is described by coupled diffusions driven by controls with delay in their drifts. Banks are minimizing their finite-horizon objective functions which take into a…
A stochastic model helps maintain insufficiently funded pension funds.
problem Maintaining pension funds that are underfunded and require external financing.
method A time-homogeneous diffusion process with a barrier is used to model the unrestricted reserves value, and a renewal-reward process models the financing effort.
result Expected values and cost evaluations of maintenance are derived, and the approach is applied to a generalized Brownian motion process.
Study examines value relevance of oil and gas reserve disclosures in London Stock Exchange.
problem Uncertainty in oil and gas reserves poses accounting challenges for investors.
method Empirical analysis using archival data and multifactor framework.
result Changes in reserves and their components are associated with share returns, but insignificantly due to oil price and longitudinal effects. Quality of disclosures positively impacts share returns.
The grid integration of intermittent Renewable Energy Sources (RES) causes costs for grid operators due to forecast uncertainty and the resulting production schedule mismatches. These so-called profile service costs are marginal cost components and can be understood as an insurance fee against RES production schedule u…
Many online companies sell advertisement space in second-price auctions with reserve. In this paper, we develop a probabilistic method to learn a profitable strategy to set the reserve price. We use historical auction data with features to fit a predictor of the best reserve price. This problem is delicate - the struct…
We introduce a new approach to incorporate uncertainty into the decision to invest in a commodity reserve. The investment is an irreversible one-off capital expenditure, after which the investor receives a stream of cashflow from extracting the commodity and selling it on the spot market. The investor is exposed to pri…
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of N banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the system depends on the rate of inter-bank borrowing and lending. Systemic risk is ch…
In this paper the dependence of wealth distribution and the velocity of money on the required reserve ratio is examined based on a random transfer model of money and computer simulations. A fractional reserve banking system is introduced to the model where money creation can be achieved by bank loans and the monetary a…
After the release of the final accounting standards for impairment in July 2014 by the IASB, banks will face the next significant methodological challenge after Basel 2. In this paper, first methodological thoughts are presented, and ways how to approach underlying questions are proposed. It starts with a detailed disc…
In this paper, we study the optimal control problem for a company whose surplus process evolves as an upward jump diffusion with random return on investment. Three types of practical optimization problems faced by a company that can control its liquid reserves by paying dividends and injecting capital. In the first pro…
Decision-calibrated prediction sets improve power system operations by reducing unnecessary costs.
problem Balancing operating costs and reliability in power systems with renewable uncertainty.
method Learn conditional prediction sets as sub-level sets of norm-based score functions, calibrate uncertainty sets based on reliability of downstream decisions.
result Decision-calibrated sets lead to more efficient operations with smaller uncertainty sets and lower costs compared to standard coverage-based calibration.
Traditional non-life reserving models largely neglect the vast amount of information collected over the lifetime of a claim. This information includes covariates describing the policy, claim cause as well as the detailed history collected during a claim's development over time. We present the hierarchical reserving mod…
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. We discuss two opposed perspectives on parameter uncertainty and point out that standard methods of classical reserving focusing on the estimation error of claims reserves are in general not approp…
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the Chain Ladder reserve in order to reach a specified security level in loss reservin…
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound Poisson framework with credit interest for positive reserve, and debit interest for negative reserve. Ruin occurs when t…
The net-premium principle is considered to be the most genuine and fair premium principle in actuarial applications. However, an insurance company, applying the net-premium principle, goes bankrupt with probability one in the long run, even if the company covers its entire costs by collecting the respective fees from i…
Optimizes reserve prices for first-price auctions to maximize revenue.
problem Optimizing reserve prices for first-price auctions in display advertising.
method Gradient-based algorithm to adaptively update and optimize reserve prices based on bidder responsiveness to experimental shocks.
result Revenue optimization in first-price auctions can be decomposed into demand and bidding components, and techniques are introduced to reduce variance of each.
In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated models under different scenarios. The key point we demonstrate relates to the compar…