5 papers
Optimization of capital injections and absolutely continuous dividend payments in a diffusion model
Hélène Guérin, Dante Mata, Jean-François Renaud +1
We investigate a joint optimization problem of dividend payments and capital injections for a surplus process driven by a general diffusion. Dividend payments are assumed to be abs…
Insurance risk models in a heterogeneous time-dependent population: scaling limits and ruin probabilities
Hélène Guérin, Michel Mandjes, Jean-François Renaud +1
Epidemic dynamics introduce time-varying heterogeneity into insured populations, as individuals' risk profiles depend on their evolving health status, thereby challenging classical…
Well-posedness of state-dependent rank-based interacting systems
Hélène Guérin, Nathalie Krell
We study the existence and uniqueness of rank-based interacting systems of stochastic differential equations. These systems can be seen as modifications with state-dependent coeffi…
A stochastic epidemic model with memory of the last infection and waning immunity
Hélène Guérin, Arsene Brice Zotsa-Ngoufack
We adapt the article of Forien, Pang, Pardoux and Zotsa: Arxiv preprint Arxiv2210.04667(2022), on epidemic models with varying infectivity and waning immunity, to incorporate the m…
Optimal withdrawals in a general diffusion model with control rates subject to a state-dependent upper bound
Hélène Guérin, Dante Mata, Jean-François Renaud +1
We consider a classical stochastic control problem in which a diffusion process is controlled by a withdrawal process up to a termination time. The objective is to maximize the exp…