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Boundary-influenced robust controls: two network examples

Martin V. Day (2006)

ESAIM: Control, Optimisation and Calculus of Variations

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...

Bounds of Ruin Probabilities for Insurance Companies in the Presence of Stochastic Volatility on Investments⋆⋆⋆

Mohamed Badaoui, Begoña Fernández (2011)

ESAIM: Proceedings

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...

Bounds on integrals with respect to multivariate copulas

Michael Preischl (2016)

Dependence Modeling

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...

Building bridges between Mathematics, Insurance and Finance

Fabrizio Durante, Giovanni Puccetti, Matthias Scherer (2015)

Dependence Modeling

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...

BV as a dual space

Fabio Maccheroni, William H. Ruckle (2002)

Rendiconti del Seminario Matematico della Università di Padova

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