scholarly journals Worst-Case Investment and Reinsurance Optimization for an Insurer under Model Uncertainty

2016 ◽  
Vol 2016 ◽  
pp. 1-8 ◽  
Author(s):  
Xiangbo Meng ◽  
Ximin Rong ◽  
Lidong Zhang ◽  
Ziping Du
Keyword(s):  
Model Uncertainty ◽  
Optimal Strategies ◽  
Optimal Investment ◽  
Model Parameters ◽  
Case Scenario ◽  
Worst Case ◽  
New Business ◽  
Hamilton Jacobi Bellman ◽  
Quadratic Distance ◽  
The Impact

In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset whose price process is modeled by a Geometric Brownian motion. Minimizing the expected quadratic distance of the terminal wealth to a given benchmark under the “worst-case” scenario, we obtain the closed-form expressions of optimal strategies and the corresponding value function by solving the Hamilton-Jacobi-Bellman (HJB) equation. Numerical examples are presented to show the impact of model parameters on the optimal strategies.

Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles

2019 ◽  
Vol 53 (1) ◽  
pp. 179-206
Author(s):  
Junna Bi ◽  
Kailing Chen
Keyword(s):  
Risk Model ◽  
Optimal Strategies ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Model Parameters ◽  
Compound Poisson ◽  
Compound Poisson Risk Model ◽  
Common Shock ◽  
The Impact ◽  
Poisson Risk Model

This paper considers the optimal investment-reinsurance strategy in a risk model with two dependent classes of insurance business under two kinds of premium principles, where the two claim number processes are correlated through a common shock component. Under the criterion of maximizing the expected exponential utility with the expected value premium principle and the variance premium principle, we use the stochastic optimal control theory to derive the optimal strategy and the value function for the compound Poisson risk model as well as for the Brownian motion diffusion risk model. In particular, we find that the optimal investment strategy on the risky asset is independent to the reinsurance strategy and the reinsurance strategy for the compound Poisson risk model are very different from those for the diffusion model under both two kinds of premium principles, but the investment strategies are the same in this two risk models. Finally, numerical examples are presented to show the impact of model parameters in the optimal strategies.

Worst-Case Investment Strategy with Delay

2018 ◽  
Vol 6 (1) ◽  
pp. 35-57
Author(s):  
Chunxiang A ◽  
Yi Shao
Keyword(s):  
Financial Market ◽  
Normal State ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Model Parameters ◽  
Investment Strategies ◽  
Case Scenario ◽  
Worst Case ◽  
Risky Assets ◽  
Investment Optimization

AbstractThis paper considers a worst-case investment optimization problem with delay for a fund manager who is in a crash-threatened financial market. Driven by existing of capital inflow/outflow related to history performance, we investigate the optimal investment strategies under the worst-case scenario and the stochastic control framework with delay. The financial market is assumed to be either in a normal state (crash-free) or in a crash state. In the normal state the prices of risky assets behave as geometric Brownian motion, and in the crash state the prices of risky assets suddenly drop by a certain relative amount, which induces to a dropping of the total wealth relative to that of crash-free state. We obtain the ordinary differential equations satisfied by the optimal investment strategies and the optimal value functions under the power and exponential utilities, respectively. Finally, a numerical simulation is provided to illustrate the sensitivity of the optimal strategies with respective to the model parameters.

scholarly journals SPATIOTEMPORAL VISUALIZATION OF TSUNAMI WAVES USING KML ON GOOGLE EARTH

2017 ◽  
Vol XLII-2/W7 ◽  
pp. 1291-1299 ◽  
Author(s):  
H. Mohammadi ◽  
M. R. Delavar ◽  
M. A. Sharifi ◽  
M. D. Pirooz
Keyword(s):  
Decision Making ◽  
Disaster Management ◽  
Google Earth ◽  
Disaster Mitigation ◽  
Case Scenario ◽  
Worst Case ◽  
Tsunami Waves ◽  
Spatiotemporal Visualization ◽  
Virtual Globes ◽  
The Impact

Disaster risk is a function of hazard and vulnerability. Risk is defined as the expected losses, including lives, personal injuries, property damages, and economic disruptions, due to a particular hazard for a given area and time period. Risk assessment is one of the key elements of a natural disaster management strategy as it allows for better disaster mitigation and preparation. It provides input for informed decision making, and increases risk awareness among decision makers and other stakeholders. Virtual globes such as Google Earth can be used as a visualization tool. Proper spatiotemporal graphical representations of the concerned risk significantly reduces the amount of effort to visualize the impact of the risk and improves the efficiency of the decision-making process to mitigate the impact of the risk. The spatiotemporal visualization of tsunami waves for disaster management process is an attractive topic in geosciences to assist investigation of areas at tsunami risk. In this paper, a method for coupling virtual globes with tsunami wave arrival time models is presented. In this process we have shown 2D+Time of tsunami waves for propagation and inundation of tsunami waves, both coastal line deformation, and the flooded areas. In addition, the worst case scenario of tsunami on Chabahar port derived from tsunami modelling is also presented using KML on google earth.

A Case Study - Life Extension of Offshore Bridge Bearings

2021 ◽  
Author(s):  
Ahmed Abdelkhalek ◽  
Govindavilas Sudhesh ◽  
Anjan Sarkar ◽  
Mohammed Eissa
Keyword(s):  
Cost Savings ◽  
Holistic Approach ◽  
Life Extension ◽  
Case Scenario ◽  
Worst Case ◽  
Maintenance And Repair ◽  
Seasonal Monitoring ◽  
The Impact ◽  
Bridge Bearings

Abstract Structural bearings of 47 offshore platform-link bridges with average age of 40 years were inspected and recommended for replacements due to their poor condition. Replacement of bridge bearings involves major risk and production interruptions given the structural modifications, and critical piping and E&I disconnections required for safe jacking-lifting activities required during the process. This paper presents the approach adopted to assure the integrity of the bridges and extend their lives without the need to replace the bearings. The approach employed failure mode and effect analysis to identifying and narrowing down areas that need focused efforts while tackling the problem. Scenario based structural assessments were carried out to examine the impact of the level of movement-allowing bearings functionality on the integrity of the bridge and its supporting structures; identify critical locations to be targeted during focused inspections; and establish envelopes for monitoring thermal expansion and contraction of the bridges. Guidelines were developed and implemented for integrated inspection-maintenance and repair campaign, which aimed to tackle corrosion issues and to install movement-monitoring indicators. Indicator seasonal monitoring is employed to establish the functionality of bearings on the long-term. The what-if structural assessments revealed that even in the worst-case scenario (in which the bearing are completely jammed) the option of local strengthening of the bridge and its supporting elements is more attractive than bearing replacement. The integrated inspection-maintenance and repair campaigns revealed that excessive corrosion levels observed from historic visual inspections on external non-critical bearing components (e.g: guide plates, angles, etc.) is not indicative of the condition of the internal load-bearing components (pedestals) which experienced much lower corrosion levels. The seasonal monitoring of bridge movements revealed that the 40+ years old Teflon pads are still functional and allow the bridges expansion and contraction. The developed holistic approach enabled demonstration of the fitness for service of the bearings, and provided means for assuring their long-term performance through monitoring. The results assured safety, integrity and delivered significant cost savings through aversion brownfield modifications, and production loss associated with bridge jacking and bearing replacement operations.

scholarly journals Optimal Strategies for an Ambiguity-Averse Insurer under a Jump-Diffusion Model and Defaultable Risk

2020 ◽  
Vol 2020 ◽  
pp. 1-26 ◽  
Author(s):  
Man Li ◽  
Yingchun Deng ◽  
Ya Huang ◽  
Hui Ou
Keyword(s):  
Diffusion Process ◽  
Default Risk ◽  
Optimal Strategies ◽  
Jump Diffusion ◽  
Corporate Bond ◽  
Value Functions ◽  
Case Scenario ◽  
Worst Case ◽  
Special Cases ◽  
Jump Diffusion Model

In this paper, we consider a robust optimal investment-reinsurance problem with a default risk. The ambiguity-averse insurer (AAI) may carry out transactions on a risk-free asset, a stock, and a defaultable corporate bond. The stock’s price is described by a jump-diffusion process, and both the jump intensity and the distribution of jump amplitude are uncertain, i.e., the jump is ambiguous. The AAI’s surplus process is assumed to follow an approximate diffusion process. In particular, the reinsurance premium is calculated according to the generalized mean-variance premium principle, and the reinsurance type has to follow a self-reinsurance function. In performing dynamic programming, both the predefault case and the postdefault case are analyzed, and the optimal strategies and the corresponding value functions are derived under the worst-case scenario. Moreover, we give a detailed proof of the verification theorem and give some special cases and numerical examples to illustrate our theoretical results.

scholarly journals Imported dengue in Spain: a nationwide analysis with predictive time series analyses

2019 ◽  
Vol 26 (8) ◽  
Author(s):  
Lidia Redondo-Bravo ◽  
Claudia Ruiz-Huerta ◽  
Diana Gomez-Barroso ◽  
María José Sierra-Moros ◽  
Agustín Benito ◽  
...  
Keyword(s):  
Time Series ◽  
Control Measures ◽  
Severe Dengue ◽  
Vector Surveillance ◽  
Case Scenario ◽  
Worst Case ◽  
Temporal Behaviour ◽  
The Impact ◽  
Near Future ◽  
Local Transmission

Abstract Background Of febrile illnesses in Europe, dengue is second only to malaria as a cause of travellers being hospitalized. Local transmission has been reported in several European countries, including Spain. This study assesses the evolution of dengue-related admissions in Spain in terms of time, geographical distribution and individuals’ common characteristics; it also creates a predictive model to evaluate the risk of local transmission. Methods This is a retrospective study using the Hospital Discharge Records Database from 1997 to 2016. We calculated hospitalization rates and described clinical characteristics. Spatial distribution and temporal behaviour were also assessed, and a predictive time series model was created to estimate expected cases in the near future. Figures for resident foreign population, Spanish residents’ trips to endemic regions and the expansion of Aedes albopictus were also evaluated. Results A total of 588 dengue-related admissions were recorded: 49.6% were women, and the mean age was 34.3 years. One person died (0.2%), 82% presented with mild-to-moderate dengue and 7–8% with severe dengue. We observed a trend of steady and consistent increase in incidence (P < 0.05), in parallel with the increase in trips to dengue-endemic regions. Most admissions occurred during the summer, showing significant seasonality with 3-year peaks. We also found important regional differences. According to the predictive time series analysis, a continuing increase in imported dengue incidence can be expected in the near future, which, in the worst case scenario (upper 95% confidence interval), would mean an increase of 65% by 2025. Conclusion We present a nationwide study based on hospital, immigration, travel and entomological data. The constant increase in dengue-related hospitalizations, in combination with wider vector distribution, could imply a higher risk of autochthonous dengue transmission in the years to come. Strengthening the human and vector surveillance systems is a necessity, as are improvements in control measures, in the education of the general public and in fostering their collaboration in order to reduce the impact of imported dengue and to prevent the occurrence of autochthonous cases.

Assembly System Configuration Design for Reconfigurability Under Uncertain Production Evolution

2019 ◽  
Vol 141 (7) ◽  
Author(s):  
Zhengqian Jiang ◽  
Hui Wang ◽  
Maxim A. Dulebenets ◽  
Junayed Pasha
Keyword(s):  
System Throughput ◽  
Assembly System ◽  
Configuration Design ◽  
System Configuration ◽  
Case Scenario ◽  
Worst Case ◽  
Design Evolution ◽  
Product Evolution ◽  
Concurrent Optimization ◽  
The Impact

Assembly system configuration determines the topological arrangement of stations with defined logical material flow among them. The design of assembly system configuration involves (1) subassembly planning that defines subassembly tasks and between-task material flows and (2) workload balancing that determines the task-station assignments. The assembly system configuration should be flexibly changed and updated to cope with product design evolution and updating. However, the uncertainty in future product evolution poses significant challenges to the assembly system configuration design since the higher cost can be incurred if the assembly line suitable for future products is very different from that for the current products. The major challenges include (1) the estimation of reconfiguration cost, (2) unavailability of probability values for possible scenarios of product evolution, and (3) consideration of the impact of the subassembly planning on the task-station assignments. To address these challenges, this paper formulates a concurrent optimization problem to design the assembly system configuration by jointly determining the subassembly planning and task-station assignments considering uncertain product evolution. A new assembly hierarchy similarity model is proposed to estimate the reconfiguration effort by comparing the commonalities among different subassembly plans of current and potential future product designs. The assembly system configuration is chosen by maximizing both assembly hierarchy similarity and assembly system throughput under the worst-case scenario. A case study motivated by real-world scenarios demonstrates the applicability of the proposed method including scenario analysis.

The Impact of Flexbarrier Ingress on Flexlok Stress

2009 ◽  
Author(s):  
Jing Lu ◽  
Frank Ma ◽  
Zhimin Tan ◽  
Terry Sheldrake
Keyword(s):  
Internal Pressure ◽  
Structural Function ◽  
Analysis Model ◽  
Flexible Pipe ◽  
Case Scenario ◽  
Element Analysis ◽  
Worst Case ◽  
Ongoing Research ◽  
Nominal Size ◽  
The Impact

An unbonded flexible pipe typically consists of multiple metallic and thermoplastic layers, where each layer is designed to provide a specific structural function. The burst resistance against the internal pressure in an unbonded flexible pipe is provided mainly by its Flexlok layer. The Flexlok is made by helically-wound steel wires, with neighbouring wires interlocking each other. Beneath the Flexlok is the Flexbarrier, a polymer layer, acting as the boundary for conveyed fluids. The internal pressure is passed onto the Flexlok through the Flexbarrier layer. Under internal pressure, the Flexbarrier can creep into the gaps between Flexlok wires. Theoretically, the polymer material ingress could reduce the flexibility of the Flexlok due to premature lock-up between Flexlok wires and subsequently increase the stress levels. This study presents a 3D finite element analysis model developed to quantify the stress elevation in the Flexlok wire, caused by the Flexbarrier layer ingress. In terms of Flexlok gap size distribution, both nominal and worst case scenarios are studied. In the nominal scenario, the Flexlok gap sizes are evenly distributed. In the worst case scenario, the Flexlok gap is assumed to be completely closed at one position while the gaps at the neighbouring positions are twice the nominal size. Flexbarrier ingress with different temperatures is also studied. Conclusions are obtained by analyzing the simulation results. The work presented is part of an ongoing research and development project.

scholarly journals Impact of Xylella fastidiosa subspecies pauca in European olives

2020 ◽  
Vol 117 (17) ◽  
pp. 9250-9259 ◽  
Author(s):  
Kevin Schneider ◽  
Wopke van der Werf ◽  
Martina Cendoya ◽  
Monique Mourits ◽  
Juan A. Navas-Cortés ◽  
...  
Keyword(s):  
Xylella Fastidiosa ◽  
Plant Diseases ◽  
Disease Spread ◽  
Economic Damage ◽  
Climatic Suitability ◽  
Case Scenario ◽  
Worst Case ◽  
Ongoing Research ◽  
Phytosanitary Measures ◽  
The Impact

Xylella fastidiosa is the causal agent of plant diseases that cause massive economic damage. In 2013, a strain of the bacterium was, for the first time, detected in the European territory (Italy), causing the Olive Quick Decline Syndrome. We simulate future spread of the disease based on climatic-suitability modeling and radial expansion of the invaded territory. An economic model is developed to compute impact based on discounted foregone profits and losses in investment. The model projects impact for Italy, Greece, and Spain, as these countries account for around 95% of the European olive oil production. Climatic suitability modeling indicates that, depending on the suitability threshold, 95.5 to 98.9%, 99.2 to 99.8%, and 84.6 to 99.1% of the national areas of production fall into suitable territory in Italy, Greece, and Spain, respectively. For Italy, across the considered rates of radial range expansion the potential economic impact over 50 y ranges from 1.9 billion to 5.2 billion Euros for the economic worst-case scenario, in which production ceases after orchards die off. If replanting with resistant varieties is feasible, the impact ranges from 0.6 billion to 1.6 billion Euros. Depending on whether replanting is feasible, between 0.5 billion and 1.3 billion Euros can be saved over the course of 50 y if disease spread is reduced from 5.18 to 1.1 km per year. The analysis stresses the necessity to strengthen the ongoing research on cultivar resistance traits and application of phytosanitary measures, including vector control and inoculum suppression, by removing host plants.

scholarly journals Lossless WDM PON Photonic Integrated Receivers Including SOAs

2019 ◽  
Vol 9 (12) ◽  
pp. 2457 ◽  
Author(s):  
Goki ◽  
Imran ◽  
Porzi ◽  
Toccafondo ◽  
Fresi ◽  
...  
Keyword(s):  
Numerical Analysis ◽  
Wavelength Division Multiplexing ◽  
Flip Chip ◽  
Optical Network ◽  
Silicon On Insulator ◽  
Passive Optical Network ◽  
Case Scenario ◽  
Worst Case ◽  
The Impact ◽  
Wdm Transmission

The role of a semiconductor optical amplifier (SOA) for amplifying downstream traffic at optical network terminals (ONT) within a silicon-photonics integrated receiver in a high capacity passive optical network (PON) is investigated. The nearly traveling wave SOA effects are evaluated by considering fabrication and link loss constraints through numerical analysis and experimental validation. The impact of hybrid integration of a SOA chip on a silicon on insulator (SOI) photonic chip using the flip chip bonding technique on SOA design is evaluated through numerical analysis of a multi section cavity model. The performance of the proposed ONT receiver design employing twin parallel SOAs is evaluated experimentally on a 32 × 25 Gb/s OOK WDM transmission system considering cross gain modulation (XGM) and amplified spontaneous emission (ASE) constraints. The XGM impact is evaluated through 32 channel wavelength division multiplexing (WDM) transmission and a likely PON worst case scenario of high channel power difference (~10 dB) between adjacent channels. The impact of ASE is evaluated through the worst-case polarization condition, i.e., when all of the signal is coupled to only one. Successful transmission was achieved in both worst-case conditions with limited impact on performance. SOA results indicate that a maximum residual facet reflectivity of 4 × 10−4 for the chip-bonded device can lead to a power penalty below 2 dB in a polarization-diversity twin SOAs receiver.

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