The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
We consider the differential game associated with robust control of a
system in a compact state domain, using Skorokhod dynamics on the
boundary. A specific class of problems motivated by queueing network control
is considered. A constructive approach to the Hamilton-Jacobi-Isaacs
equation is developed which is based on an appropriate family of
extremals, including boundary extremals for which the Skorokhod
dynamics are active. A number of technical lemmas and a structured
verification theorem...
In this work we consider a model of an insurance company where the insurer has to face a
claims process which follows a Compound Poisson process with finite exponential moments.
The insurer is allowed to invest in a bank account and in a risky asset described by
Geometric Brownian motion with stochastic volatility that depends on an external factor
modelled as a diffusion process. By using exponential martingale techniques we obtain
upper and lower...
In this paper, we present a method to obtain upper and lower bounds on integrals with respect to copulas by solving the corresponding assignment problems (AP’s). In their 2014 paper, Hofer and Iacó proposed this approach for two dimensions and stated the generalization to arbitrary dimensons as an open problem. We will clarify the connection between copulas and AP’s and thus find an extension to the multidimensional case. Furthermore, we provide convergence statements and, as applications, we consider...
Paul Embrechts is Professor of Mathematics at the ETH Zurich specializing in Actuarial Mathematics and Quantitative Risk Management. Previous academic positions include the Universities of Leuven, Limburg and London (Imperial College). Dr. Embrechts has held visiting professorships at several universities, including the Scuola Normale in Pisa (Cattedra Galileiana), the London School of Economics (Centennial Professor of Finance), the University of Vienna, Paris 1 (Panthéon-Sorbonne), theNationalUniversity...
Currently displaying 21 –
32 of
32