3 papers
math.OC2026
Robust Control for Marked Point Processes under Transition-Rate Uncertainty
Sascha Desmettre, Philipp C. Hornung
We consider a novel robust utility maximisation problem under bounded cumulative transition rate uncertainty within the class of non-Markovian marked point processes on a finite st…
q-fin.RM2026
Disability insurance with collective health claims: A mean-field approach
Christian Furrer, Philipp C. Hornung
The classic semi-Markov disability model is expanded with individual and collective health claims to improve its explanatory and predictive power -- in particular in the context of…
q-fin.RM2026
Mean-field approximations in insurance
Philipp C. Hornung
The calculation of the insurance liabilities of a cohort of dependent individuals in general requires the solution of a high-dimensional system of coupled linear forward integro-di…