3 papers
q-fin.RM2025
Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims
Jiwook Jang, Patrick J. Laub, Tak Kuen Siu +1
In this paper, we consider catastrophe stop-loss reinsurance valuation for a reinsurance company with dynamic contagion claims. To deal with conventional and emerging catastrophic…
math.OC2021
Regime Switching Optimal Growth Model with Risk Sensitive Preferences
Anindya Goswami, Nimit Rana, Tak Kuen Siu
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evoluti…
econ.GN2019
Optimal Investment, Consumption, and Insurance with Durable Goods under Stochastic Depreciation Risk
Aleksandar Arandjelović, Ryle S. Perera, Pavel V. Shevchenko +2
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-fr…