2 papers
math.OC2026
Robust Optimal Portfolio in a Mixture Setting with Partial Ambiguity
N. D. Shyamalkumar, Tianrun Wang
Managing insurance and financial risk when data is limited is a key task in the insurance industry. In this paper, we focus on cases where the risk distribution is modeled as a mix…
math.OC2026
On a Class of Optimal Reinsurance Problems
N. D. Shyamalkumar, Tianrun Wang
De Finetti's optimal reinsurance is a set of contracts, one for each risk in a portfolio, that caps the retained aggregate variance to a pre-specified level while minimizing total…