1 citations · 1 across the 8 of their papers we have counts for
9 papers
Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
Hugo E. Ramirez, Rafael Serrano
We study investment and insurance demand decisions for an agent in a theoretical continuous-time expected utility maximization model that combines risky assets with an (exogenous)…
Existence of optimal controls for stochastic Volterra equations
Andrés Cárdenas, Sergio Pulido, Rafael Serrano
We provide sufficient conditions that guarantee the existence of relaxed optimal controls in the weak formulation of stochastic control problems for stochastic Volterra equations (…
ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach
Rafael Serrano, Camilo Castillo
We study a continuous-time asset-allocation problem for an insurance firm that backs up liabilities from multiple non-life business lines with underwriting profits and investment i…
On the LP formulation in measure spaces of optimal control problems for jump-diffusions
Rafael Serrano
In this short note we formulate a infinite-horizon stochastic optimal control problem for jump-diffusions of Ito-Levy type as a LP problem in a measure space, and prove that the op…
Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics
Mauricio Junca, Rafael Serrano
We explore martingale and convex duality techniques to study optimal investment strategies that maximize expected risk-averse utility from consumption and terminal wealth. We consi…
Backward Ornstein-Uhlenbeck transition operators and mild solutions of non-autonomous Hamilton-Jacobi equations in Banach spaces
Rafael Serrano
In this paper we revisit the mild-solution approach to second-order semi-linear PDEs of Hamilton-Jacobi type in infinite-dimensional spaces. We show that a well-known result on exi…