27 citations · 159 across the 58 of their papers we have counts for
9 papers · 1 filter
Optimal Robust Reinsurance with Multiple Insurers
Emma Kroell, Sebastian Jaimungal, Silvana M. Pesenti
We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to insurers whose claims follow compound Poisson processes representing bot…
Eliciting Risk Aversion with Inverse Reinforcement Learning via Interactive Questioning
Ziteng Cheng, Anthony Coache, Sebastian Jaimungal
We investigate a framework for robo-advisors to estimate non-expert clients' risk aversion using adaptive binary-choice questionnaires. We model risk aversion using cost functions…
Decoding the age-chemical structure of the Milky Way disk: An application of Copulas and Elicitable Maps
Aarya A. Patil, Jo Bovy, Sebastian Jaimungal +2
In the Milky Way, the distribution of stars in the vs. and vs. age planes holds essential information about the history of sta…
Risk Budgeting Allocation for Dynamic Risk Measures
Silvana M. Pesenti, Sebastian Jaimungal, Yuri F. Saporito +1
We define and develop an approach for risk budgeting allocation - a risk diversification portfolio strategy - where risk is measured using a dynamic time-consistent risk measure. F…
Optimal Trading in Automated Market Makers with Deep Learning
Sebastian Jaimungal, Yuri F. Saporito, Max O. Souza +1
This article explores the optimisation of trading strategies in Constant Function Market Makers (CFMMs) and centralised exchanges. We develop a model that accounts for the interact…
Robust Risk-Aware Option Hedging
David Wu, Sebastian Jaimungal
The objectives of option hedging/trading extend beyond mere protection against downside risks, with a desire to seek gains also driving agent's strategies. In this study, we showca…