3 papers
stat.ML2026
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…
q-fin.MF2025
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 proces…
q-fin.MF2025
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…