4 papers
Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation
Bahman Angoshtari, Virginia R. Young
We find the optimal indemnity to minimize the probability of ruin when premium is calculated according to the distortion premium principle with a proportional risk load, and admiss…
Optimal Trading of a Basket of Futures Contracts
Bahman Angoshtari, Tim Leung
We study the problem of dynamically trading multiple futures contracts with different underlying assets. To capture the joint dynamics of stochastic bases for all traded futures, w…
Optimal Dynamic Basis Trading
Bahman Angoshtari, Tim Leung
We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian…
Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
Bahman Angoshtari, Erhan Bayraktar, Virginia R. Young
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-cal…