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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Who Shares Risk with Whom？A Dynamic Network Game Analysis
分担风险 动态网络 博弈分析
2023/4/18
We investigate informal risk sharing using a dynamic network game model. In each round, a randomly selected agent experiences a negative shock, and the agent's friends decide whether to provide assist...
Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity of the value function
2010/12/8
This paper is concerned with cost optimization of an insurance company. The sur-plus of the insurance company is modeled by a controlled regime switching diffusion,where the regime switching mechanism...
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes Poissonpoint processes Levy processes HJBPDE policy mprovement
2010/4/27
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, N...
Optimal consumption and investment with bounded downside risk for power utility functions
Portfolio optimization Stochastic optimal control Risk constraints Value-at-Risk Expected Shortfall
2010/4/27
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization prob...