4 papers
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…
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…
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…