5 citations · 14 across the 9 of their papers we have counts for
9 papers
Equilibrium investment under dynamic preference uncertainty
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
We study a continuous-time portfolio choice problem for an investor whose state-dependent preferences are determined by an exogenous factor that evolves as an Itô diffusion process…
Synthetic data for ratemaking: imputation-based methods vs adversarial networks and autoencoders
Yevhen Havrylenko, Meelis Käärik, Artur Tuttar
Actuarial ratemaking depends on high-quality data, yet access to such data is often limited by the cost of obtaining new data, privacy concerns, etc. In this paper, we explore synt…
Framework for asset-liability management with fixed-term securities
Yevhen Havrylenko
We consider an optimal investment-consumption problem for a utility-maximizing investor who has access to assets with different liquidity and whose consumption rate as well as term…
Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time
Luca De Gennaro Aquino, Sascha Desmettre, Yevhen Havrylenko +1
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This constructio…
Optimal fees in hedge funds with first-loss compensation
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
Hedge fund managers with the first-loss scheme charge a management fee, a performance fee and guarantee to cover a certain amount of investors' potential losses. We study how parti…
Detection of Interacting Variables for Generalized Linear Models via Neural Networks
Yevhen Havrylenko, Julia Heger
The quality of generalized linear models (GLMs), frequently used by insurance companies, depends on the choice of interacting variables. The search for interactions is time-consumi…
Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
Marcos Escobar-Anel, Yevhen Havrylenko, Rudi Zagst
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To…
Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
Yevhen Havrylenko, Maria Hinken, Rudi Zagst
We study the optimal investment-reinsurance problem in the context of equity-linked insurance products. Such products often have a capital guarantee, which can motivate insurers to…
Decrease of capital guarantees in life insurance products: can reinsurance stop it?
Marcos Escobar-Anel, Yevhen Havrylenko, Michel Kschonnek +1
We analyze the potential of reinsurance for reversing the current trend of decreasing capital guarantees in life insurance products. Providing an insurer with an opportunity to shi…