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.
Study optimal reinsurance for insurers with a reinsurer's default risk.
Investigates optimal life insurance and annuity decisions in inflationary economies.
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…
Optimal insurance policy for exponential utility maximization with convex premium calculation.
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…
Investment and insurance decisions are studied in a model with nonlinear portfolio frictions and background risk.
Study examines insurance demand under ambiguity aversion.
Study optimizes insurance investment to maximize utility across all capital levels.
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time of the insured as well as the trend of a portfolio traded in the financial market…
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are adapted to the Brownian filtration. Robustness can only be achieved for logartihmic utility, otherwise a cashflow should be added to the in…
Optimal annuitization strategy depends on age, labor income, and mortality risk.
Study on hedging with delayed strategies for exponential utility maximization.
Study robust utility maximization with uncertain continuous semimartingales.
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial markets, we investigate whether small perturbations of the market coefficient pr…
Solves utility maximization for delayed informed investors.
A note on utility maximization with costs, proving trading strategies.
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we establish a limit theorem for the optimal trading strategies. The proofs are based on …
In this paper, we study a class of quadratic Backward Stochastic Differential Equations (BSDEs) which arises naturally when studying the problem of utility maximization with portfolio constraints. We first establish existence and uniqueness results for such BSDEs and then, we give an application to the utility maximiza…
Study utility maximization with delayed information in continuous time Gaussian markets.
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the consumption occurs according to a stochastic clock, we obta…
Stability of the utility maximization problem with random endowment and indifference prices is studied for a sequence of financial markets in an incomplete Brownian setting. Our novelty lies in the nonequivalence of markets, in which the volatility of asset prices (as well as the drift) varies. Degeneracies arise from …
This article studies the sensitivity of the power utility maximization problem with respect to the investor's relative risk aversion, the statistical probability measure, the investment constraints and the market price of risk. We extend previous descriptions of the dual domain then exploit the link between the constra…
In this paper we study a robust expected utility maximization problem with random endowment in discrete time. We give conditions under which an optimal strategy exists and derive a dual representation for the optimal utility. Our approach is based on a general representation result for monotone convex functionals, a fu…
We establish the existence and characterization of a primal and a dual facelift - discontinuity of the value function at the terminal time - for utility-maximization in incomplete semimartingale-driven financial markets. Unlike in the lower- and upper-hedging problems, and somewhat unexpectedly, a facelift turns out to…
The paper examines utility maximization in markets with hidden Gaussian drift, finding restrictions on model parameters.
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in the form of a random variable G, which only becomes known to the ordinary agents at date T, we give criteria for the No …
Study on utility maximization with Tsallis entropy in reinforcement learning.
Paper tackles utility maximization with job-switching and retirement constraints.
Study insurance pricing under correlation ambiguity without increasing prices or reducing utility.
Study on robust utility maximization with nonconcave utility functions under projective determinacy.
Study solves utility maximization in a transient price impact market.
Paper proves Pareto efficient insurance for multiple entities.
We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value fu…
Optimal financial strategies minimize risk under uncertain models.
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that prevents a pure bond investment and we include uncertainty by means of ellipsoidal un…
Study on systemic risk in European insurance sector, showing insurer connections during stress.
Investor maximizes utility from an unknown claim using robust optimization.
The paper examines how risk reduction and insurance choices interact under convex premium principles.
Parametric insurance offers better risk-sharing in high-risk settings than traditional indemnity insurance.
The paper examines insurance market dynamics and optimal regulation.
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…
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the numéraire-based model and work with utility functions only supporting R+. Under the assumption of existence of consistent price sy…
Optimal insurance contract limits insurer's risk exposure variance.
In this paper, we study a constrained utility maximization problem following the convex duality approach. After formulating the primal and dual problems, we construct the necessary and sufficient conditions for both the primal and dual problems in terms of FBSDEs plus additional conditions. Such formulation then allows…
Paper models demand and solvency for index insurance, combining traditional and measurable index-based coverage.
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 dynamically investing in a financial market, and statically in available options. We show …
Two pension funds mutually insure against longevity risk.
Reinsurance can help life insurers maintain higher capital guarantees without losing utility.