Insurance surplus sharing using coherent risk measures.
problem Dividing surplus between insured and shareholders.
method Coherent risk measures and capital allocation theory.
result A method to fairly divide insurance surplus.
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48 results for “surplus sharing”
Study mutual insurance market dynamics using mean field games.
problem Understanding strategic interactions and wealth distribution in mutual insurance companies.
method Extended mean field game framework, mean field forward-backward stochastic differential equations (MF-FBSDE), deep BSDE algorithm.
result Established global-in-time existence and uniqueness of Nash equilibrium strategy.
Paper analyzes robust strategies in a pension plan game with ambiguous financial markets.
problem Analyzing robust strategies in a defined benefit pension plan game with ambiguous financial markets.
method Formulated and solved two robust non-zero-sum games using stochastic dynamic programming.
result Explicit forms and optimality of the solutions are shown for the firm and union.
The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all the participating agents. In the complete-market setting, each agent's set of st…
Optimal reinsurance balances risk over surplus ratios for risk-adjusted surplus.
problem Balancing risk over surplus ratios in reinsurance contracts.
method Analyzes reinsurance contracts using Value at Risk and expected surplus ratio, derives simplifications for large portfolios, and considers approximations of the optimum portfolio.
result One or two-layer contracts are optimal for both risk-adjusted surplus and risk over expected surplus ratio, but no second layer for large portfolios or below certain reinsurance prices.
Paper introduces a new principle for fair redistribution of insurance surplus.
problem Fair redistribution of surplus in life insurance policies.
method Introduces ISU decomposition principle based on infinitesimal sequential updates.
result Existing heuristic formulas can be replicated as ISU decompositions.
Optimal Surplus Management for Insurers under Stochastic Interest Rates and Jump-Driven Liabilitiesq-fin.RM
Optimal insurance surplus management under stochastic interest rates and jumps.
problem Managing insurance surplus with stochastic interest rates and jump-driven liabilities.
method Stochastic control techniques and normalized surplus projection method.
result Optimal investment policy with myopic and hedging components.
A second order linear integro-differential equation with Volterra integral operator and strong singularities at the endpoints (zero and infinity) is considered. Under limit conditions at the singular points, and some natural assumptions, the problem is a singular initial problem with limit normalizing conditions at inf…
Optimizes capital structure for life insurance companies with surplus participation.
problem Determining the optimal participation rate in life insurance contracts.
method Adapted Leland's dynamic capital structure model to life insurance context.
result Optimal participation rate is highly sensitive to contract duration and tax rate.
The study examines how different interpolation methods affect the decomposition of life insurance surplus.
problem The impact of different interpolation methods on the decomposition of life insurance surplus.
method The study uses the IASU decomposition method to analyze the effects of different interpolation methods (Lee-Carter and linear) on the surplus decomposition.
result Lee-Carter and linear interpolation yield almost identical decompositions, while constant approximations result in different decompositions.
Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first objective leads to consider surplus-invariant capital adequacy tests, i.e. tests that do not depend on the surplus of…
Revisits life insurance surplus models with new technical bases.
problem Classifying and extending life insurance surplus models.
method Using Markov models and classifying technical bases in Thiele's equation.
result Introduces a `canonical' model with three technical bases.
The theory of acceptance sets and their associated risk measures plays a key role in the design of capital adequacy tests. The objective of this paper is to investigate, in the context of bounded financial positions, the class of surplus-invariant acceptance sets. These are characterized by the fact that acceptability …
Optimal strategy for insurance company dividends and capital injection with restrictions.
problem Managing dividends and capital injection under a surplus process restriction.
method Singular stochastic control problem with optimal strategies identified.
result Optimal strategies change based on capital injection costs and dividend payout barriers.
Dynamic reinsurance aims to minimize surplus risk using martingale transport.
problem Minimizing surplus risk in dynamic reinsurance.
method Martingale optimal transport techniques.
result A tractable solution analogous to the Bass martingale is found.
Surplus-invariant risk measuresq-fin.MF
This paper presents a systematic study of the notion of surplus invariance, which plays a natural and important role in the theory of risk measures and capital requirements. So far, this notion has been investigated in the setting of some special spaces of random variables. In this paper we develop a theory of surplus …
The abstract reviews Markov models in life insurance surplus.
problem Analyzing Markov models in life insurance surplus.
method Systematic organization of models based on technical bases, including non-contractual cashflows.
result Expansion of 'technical basis' and addition of new terms to the surplus.
Parisian excursion with capital injection for draw-down reflected Levy insurance risk processq-fin.MF
The paper analyzes insurance risk with Parisian ruin and capital injection.
problem Analyzing insurance risk with Parisian ruin and capital injection.
method Using fluctuation and excursion theory of spectrally negative Levy processes.
result Distributional identities and ruin probabilities are derived.
New method estimates consumer surplus from randomized pricing data.
problem Estimating consumer surplus from observational data, especially in AI-driven pricing.
method Cumulative Propensity Weights (CPW) and Augmented CPW (ACPW) estimators.
result Validated methods for estimating consumer surplus from randomized pricing data.
Optimal financing and dividend distribution in a general diffusion model with regime switchingmath.OC
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both cap…
The regulator is interested in proposing a capital adequacy test by specifying an acceptance set for firms' capital positions at the end of a given period. This set needs to be surplus-invariant, i.e., not to depend on the surplus of firms' shareholders, because the test means to protect firms' liability holders. We pr…
We study an optimal investment control problem for an insurance company. The surplus process follows the Cramer-Lundberg process with perturbation of a Brownian motion. The company can invest its surplus into a risk free asset and a Black-Scholes risky asset. The optimization objective is to minimize the probability of…
Bidders in day-ahead electricity markets want to sell/buy electricity when their bids generate positive surplus and not to take an action when the reverse holds. However, non-convexities in these markets cause conflicts between the actions that the bidders want to take and the actual market results. In this work, we in…
Study shows Bitcoin mining with surplus electricity can boost KEPCO's financial stability.
problem Improving energy resource efficiency and reducing KEPCO's debt.
method Utilized surplus electricity for Bitcoin mining using Antminer S21 XP Hyd, analyzed with Random Forest Regressor and Long Short-Term Memory models.
result Bitcoin mining with surplus electricity generates economic revenue, minimizes energy loss, and resolves payment issues for KEPCO.
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a regime-switching process subject to both regular and singular controls. To approxima…
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk free asset and in a risky asset, governed by the Black-Scholes equation. There is a constraint that the insurance company can only invest in the risky asset at a limited l…
This paper solves an optimal dividend payout problem with ratcheting constraints using a novel method.
problem Optimal dividend payout under ratcheting constraints for a Brownian motion surplus process.
method Novel partial differential equation method to solve the Hamilton-Jacobi-Bellman (HJB) equation.
result Existence and uniqueness of solution in stronger functional spaces, strict monotonicity, boundedness, and -smoothness of the free boundary.
Efficiently estimates SAGE values using causal structure learning.
problem Computational infeasibility of exact SAGE calculations.
method Uses causal structure learning to identify conditional independencies and accelerate SAGE approximation.
result Empirically demonstrates efficient and accurate estimation of SAGE values.
New bid shading algorithm reduces costs by 55%.
problem Minimizing costs in online advertising auctions.
method Win-rate prediction and surplus maximization using logistic regression.
result 7% more profit for advertisers compared to benchmarks.
Paper explores how risk-averse individuals' willingness to pay for insurance varies with risk probability.
problem Understanding how risk-averse individuals' willingness to pay for insurance varies with risk probability.
method Analyzes willingness to pay (WTP) for partial risk reduction within the dual theory of decision.
result In dual theory, reducing the probability of risk and providing insurance can be complementary if the surplus increases with risk reduction.
This paper concerns the dual risk model, dual to the risk model for insurance applications, where premiums are surplus-dependent. In such a model premiums are regarded as costs, while claims refer to profits. We calculate the mean of the cumulative discounted dividends paid until ruin, if the barrier strategy is applie…
This paper reviews incompatibilities of comonotonic risk measures.
problem Incompatibilities of comonotonic risk measures with central properties.
method Literature review and Choquet representation of comonotonic additive risk measures.
result Comonotonic additive risk measures cannot be surplus invariant.
The paper analyzes optimal dividend strategies for risky businesses, considering both periodic and extraordinary payments.
problem Maximizing dividends paid until ruin, net of transaction costs.
method Modeling cash surplus as Brownian motion, considering different types of dividends with transaction costs.
result Optimal strategies depend on business profitability and transaction costs, sometimes including liquidation.
The Gerber-Shiu function provides a way of measuring the risk of an insurance company. It is given by the expected value of a function that depends on the ruin time, the deficit at ruin, and the surplus prior to ruin. Its computation requires the evaluation of the overshoot/undershoot distributions of the surplus proce…
Generalized Expected Discounted Penalty Function at General Drawdown for Lévy Risk Processesq-fin.PR
The paper studies drawdown times in Lévy risk processes, generalizing previous results.
problem Analyzing the time of drawdown in spectrally negative Lévy risk processes.
method Using the joint distribution of drawdown times, maximums, and other related quantities.
result Obtained semi-explicit expressions for the joint distribution in terms of scale functions and Lévy measure.
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…
In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance portfolio. The analysis is based on boundary problems for linear ordinary differ…
This paper models insurance company insolvency using Lévy processes.
problem Imitating real-world liquidation process in insurance companies.
method Three-barrier model with spectrally negative Lévy processes.
result Rigorous definition and semi-explicit expressions for liquidation ruin.
Study how firm liquidation regimes affect shareholder value and stability.
problem Balancing shareholder value and financial stability during firm liquidation.
method Modelled forced liquidation in reduced form, solved singular stochastic control problem.
result Combining distress regions below and above ruin threshold improves both shareholder value and firm survival.
Optimal reinsurance strategy found to minimize financial risk.
problem Minimizing financial risk in insurance companies through optimal reinsurance.
method Solving the problem via neural networks and a Cramér-Lundberg model.
result Optimal reinsurance strategy found to control terminal wealth and ruin probability.
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…
The paper optimizes insurance dividend payments and reinsurance strategies under specific distribution constraints.
problem Optimizing insurance dividend payments and reinsurance strategies with terminal distribution constraints.
method Explicit expressions for optimal strategies found in both discrete and continuous time settings.
result Explicit expressions for optimal dividend strategies and reinsurance strategies found.
Study optimal reinsurance and investment to minimize drawdown risk.
problem Minimizing drawdown risk in a risk model with correlated insurance claims.
method Optimal reinsurance-investment strategy under expected value and variance premium principles, considering per-loss reinsurance and financial market investment.
result Closed-form expressions for optimal reinsurance-investment strategies and value functions.
This paper optimizes insurance reinsurance design under solvency constraints.
problem Optimizing risk transfer from an insurance company to a reinsurer under solvency constraints.
method Martingale method to derive optimal reinsurance design maximizing terminal value of surplus.
result Optimal reinsurance designs include a combination of proportional and stop-loss protection.
Optimal reinsurance and dividend strategy for insurance companies in a finite time.
problem Maximizing dividends while managing risk in a finite time horizon.
method Dynamic control problem with Hamilton-Jacobi-Bellman equation, penalty approximation method.
result Smoothness of the value function and comparison principle for its gradient.
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…
On consistency of optimal pricing algorithms in repeated posted-price auctions with strategic buyercs.GT
We study revenue optimization learning algorithms for repeated posted-price auctions where a seller interacts with a single strategic buyer that holds a fixed private valuation for a good and seeks to maximize his cumulative discounted surplus. For this setting, first, we propose a novel algorithm that never decreases …
The paper discusses the impossibility of eliminating surplus intersections in Lagrangian submanifolds.
problem Can surplus intersections in Lagrangian submanifolds be eliminated by Hamiltonian isotopy?
method Analyzing the intersections and isotopies of Lagrangian submanifolds and auxiliary Lagrangians.
result Surplusection cannot be eliminated in several important situations, highlighting the need for better understanding.