scholarly journals Closed-Loop Equilibrium Reinsurance-Investment Strategy with Insider Information and Default Risk

2021 ◽  
Vol 2021 ◽  
pp. 1-32
Author(s):  
Peng Yang
Keyword(s):  
Financial Market ◽  
Default Risk ◽  
Closed Loop ◽  
Investment Strategy ◽  
Model Parameters ◽  
Hjb Equations ◽  
Loop Control ◽  
Insider Information ◽  
Control Approach ◽  
Terminal Wealth

This paper studies the closed-loop equilibrium reinsurance-investment problem with insider information and default risk. The financial market consists of one risky asset, one defaultable bond, and one risk-free asset. The surplus process is governed by a jump-diffusion process. Two kinds of dependencies between the insurance market and the financial market are considered. In addition, the insurer has some extra claims information available from the beginning of the trading interval. The objective of the insurer is to choose a time-consistent reinsurance-investment strategy so as to maximize the expected terminal wealth while minimizing the variance of the terminal wealth. Since this problem is time-inconsistent, using closed-loop control approach from the perspective of game theory, we establish the extended Hamilton–Jacobi–Bellman (HJB) equations for the postdefault case and the predefault case, respectively. Closed-form solutions for the closed-loop equilibrium reinsurance-investment strategy and the corresponding value function are obtained. Finally, we provide a series of numerical examples to illustrate the effects of insider information and other some important model parameters on the closed-loop equilibrium reinsurance and investment strategies. The result analyses reveal some interesting phenomena and provide useful guidances for reinsurance and investment in reality.

scholarly journals Optimal Reinsurance-Investment Problem under Mean-Variance Criterion with n Risky Assets

2020 ◽  
Vol 2020 ◽  
pp. 1-16
Author(s):  
Peng Yang
Keyword(s):  
Financial Market ◽  
Investment Strategy ◽  
Hjb Equation ◽  
Model Parameters ◽  
Optimal Reinsurance ◽  
Risky Assets ◽  
Terminal Wealth ◽  
Investment Problem ◽  
Mean Variance ◽  
Variance Criterion

Based on the mean-variance criterion, this paper investigates the continuous-time reinsurance and investment problem. The insurer’s surplus process is assumed to follow Cramér–Lundberg model. The insurer is allowed to purchase reinsurance for reducing claim risk. The reinsurance pattern that the insurer adopts is combining proportional and excess of loss reinsurance. In addition, the insurer can invest in financial market to increase his wealth. The financial market consists of one risk-free asset and n correlated risky assets. The objective is to minimize the variance of the terminal wealth under the given expected value of the terminal wealth. By applying the principle of dynamic programming, we establish a Hamilton–Jacobi–Bellman (HJB) equation. Furthermore, we derive the explicit solutions for the optimal reinsurance-investment strategy and the corresponding efficient frontier by solving the HJB equation. Finally, numerical examples are provided to illustrate how the optimal reinsurance-investment strategy changes with model parameters.

scholarly journals Robust Time-Consistent Portfolio Selection for an Investor under CEV Model with Inflation Influence

2020 ◽  
Vol 2020 ◽  
pp. 1-14
Author(s):  
Peng Yang
Keyword(s):  
Probability Measure ◽  
Financial Market ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Risky Asset ◽  
Control Technique ◽  
Model Parameters ◽  
Cev Model ◽  
Terminal Wealth ◽  
Optimal Investment Strategy

A robust time-consistent optimal investment strategy selection problem under inflation influence is investigated in this article. The investor may invest his wealth in a financial market, with the aim of increasing wealth. The financial market includes one risk-free asset, one risky asset, and one inflation-indexed bond. The price process of the risky asset is governed by a constant elasticity of variance (CEV) model. The investor is ambiguity-averse; he doubts about the model setting under the original probability measure. To dispel this concern, he seeks a set of alternative probability measures, which are absolutely continuous to the original probability measure. The objective of the investor is to seek a time-consistent strategy so as to maximize his expected terminal wealth meanwhile minimizing his variance of the terminal wealth in the worst-case scenario. By using the stochastic optimal control technique, we derive closed-form solutions for the optimal time-consistent investment strategy, the probability scenario, and the value function. Finally, the influences of model parameters on the optimal investment strategy and utility loss function are examined through numerical experiments.

Closed Loop Identification by Optimization Method

2015 ◽  
Vol 1084 ◽  
pp. 636-641
Author(s):  
Valeriy F. Dyadik ◽  
Nikolay S. Krinitsyn ◽  
Vyacheslav A. Rudnev
Keyword(s):  
Closed Loop ◽  
Uranium Hexafluoride ◽  
Optimization Method ◽  
Model Parameters ◽  
Control Loop ◽  
Loop Control ◽  
Identification Method ◽  
Closed Loop Control System ◽  
Closed Loop Identification ◽  
Loop Control System

The article is devoted to the adaptation of the controller parameters during its operation as a part of a control loop. The possibility to identify the parameters of the controlled plant model in the closed control loop has been proved by a computer simulation. The described active identification method is based on the response processing of the closed loop control system to standard actions. The developed algorithm has been applied to determine the model parameters of the flaming fluorination reactor used for the production of uranium hexafluoride. Designed identification method improves the quality of the product and the efficiency of the entire production.

scholarly journals Real-Time Low-Cost Speed Monitoring and Control of Three-Phase Induction Motor via a Voltage/Frequency Control Approach

2020 ◽  
Vol 2020 ◽  
pp. 1-14
Author(s):  
Ali Hmidet ◽  
Olfa Boubaker
Keyword(s):  
Real Time ◽  
Induction Motor ◽  
Closed Loop ◽  
Low Cost ◽  
Closed Loop Control ◽  
Loop Control ◽  
Control Approach ◽  
Three Phase ◽  
Wide Range ◽  
Voltage Frequency

In this paper, a new design of a real-time low-cost speed monitoring and closed-loop control of the three-phase induction motor (IM) is proposed. The proposed solution is based on a voltage/frequency (V/F) control approach and a PI antiwindup regulator. It uses the Waijung Blockset which considerably alleviates the heaviness and the difficulty of the microcontroller’s programming task incessantly crucial for the implementation and the management of such complex applications. Indeed, it automatically generates C codes for many types of microcontrollers like the STM32F4 family, also used in this application. Furthermore, it offers a cost-effective design reducing the system components and increasing its efficiency. To prove the efficiency of the suggested design, not only simulation results are carried out for a wide range of variations in load and reference speed but also experimental assessment. The real-time closed-loop control performances are proved using the aMG SQLite Data Server via the UART port board, whereas Waijung WebPage Designer (W2D) is used for the web monitoring task. Experimental results prove the accuracy and robustness of the proposed solution.

Robust control for hypersonic vehicles with parametric and unstructured uncertainties

2017 ◽  
Vol 232 (13) ◽  
pp. 2369-2380 ◽  
Author(s):  
Hao Liu ◽  
Deyuan Liu ◽  
Jianxiang Xi ◽  
Yao Yu
Keyword(s):  
Robust Control ◽  
Closed Loop ◽  
Hypersonic Vehicles ◽  
Frequency Range ◽  
Parameter Uncertainties ◽  
Loop Control ◽  
Control Approach ◽  
Closed Loop Control System ◽  
Loop Control System ◽  
Multiple Uncertainties

A robust flight controller is proposed for the longitudinal model of generic hypersonic vehicles, whose dynamics involves nonlinearities, parameter uncertainties, and unstructured uncertainties. The proposed longitudinal controller is developed based on the standard [Formula: see text] theory and the robust compensating approach. The robust compensating approach is introduced to reduce the influences of multiple uncertainties and nonlinearities on the closed-loop control system. Compared to the [Formula: see text] control theory, these influences in the whole frequency range can be restrained. Theoretical analysis and numerical simulation results are presented to illustrate the tracking performance properties of the designed robust control approach.

scholarly journals A dual-loop tracking control approach to precise nanopositioning

2018 ◽  
Vol 25 (3) ◽  
pp. 666-674 ◽  
Author(s):  
Mohammed Altaher ◽  
Douglas Russell ◽  
Sumeet S. Aphale
Keyword(s):  
Closed Loop ◽  
Reference Signal ◽  
Open Loop ◽  
Performance Criteria ◽  
Control Technique ◽  
Loop Control ◽  
Control Approach ◽  
First Order ◽  
Integral Controller ◽  
Double Integrator

Nanopositioners are mechanical devices that can accurately move with a resolution in the nanometer scale. Due to their mechanical construction and the piezoelectric actuators popularly employed in nanopositioners, these devices have severe performance limitations due to resonance, hysteresis and creep. A number of techniques to control nanopositioners, both in open-loop and closed-loop, have been reported in the literature. Closed-loop techniques clearly outperform open-loop techniques due to several desirable characteristics, such as robustness, high-bandwidth, absence of the need for tuning and high stability, along with others. The most popular closed-loop control technique reported is one where a damping controller is first employed in an inner loop to damp the mechanical resonance of the nanopositioner, thereby increasing achievable bandwidth. Consequently, a tracking controller, typically an Integral controller or a proportional–integral controller, is implemented in the outer loop to enforce tracking of the reference signal, thereby reducing the positioning errors due to hysteresis and creep dynamics of the employed actuator. The most popular trajectory a nanopositioner is forced to track is a raster scan, which is generated by making one axis of the nanopositioner follow a triangular trajectory and the other follow a slow ramp or staircase. It is quite clear that a triangle wave (a finite velocity, zero acceleration signal) cannot be perfectly tracked by a first-order integrator and a double integrator is necessary to deliver error-free tracking. However, due to the phase profile of the damped closed-loop system, implementing a double integrator is difficult. This paper proposes a method by which to implement two integrators focused on the tracking performance. Criteria for gain selection, stability analysis, error analysis, simulations, and experimental results are provided. These demonstrate a reduction in positioning error by 50%, when compared to the traditional damping plus first-order integral tracking approach.

Optimal Insurance-Package and Investment Problem for an Insurer

2018 ◽  
Vol 6 (1) ◽  
pp. 85-96
Author(s):  
Delei Sheng ◽  
Linfang Xing
Keyword(s):  
Value Function ◽  
Investment Strategy ◽  
Optimal Combination ◽  
Hjb Equations ◽  
Terminal Wealth ◽  
Optimal Insurance ◽  
Yield Rate ◽  
Investment Problem ◽  
Hamilton Jacobi Bellman ◽  
The Value Function

AbstractAn insurance-package is a combination being tie-in at least two different categories of insurances with different underwriting-yield-rate. In this paper, the optimal insurance-package and investment problem is investigated by maximizing the insurer’s exponential utility of terminal wealth to find the optimal combination-share and investment strategy. Using the methods of stochastic analysis and stochastic optimal control, the Hamilton-Jacobi-Bellman (HJB) equations are established, the optimal strategy and the value function are obtained in closed form. By comparing with classical results, it shows that the insurance-package can enhance the utility of terminal wealth, meanwhile, reduce the insurer’s claim risk.

scholarly journals Static and Dynamic Characterization and Control of a High-Performance Electro-Hydraulic Actuator

Actuators ◽  
2020 ◽  
Vol 9 (2) ◽  
pp. 46
Author(s):  
Govind N. Sahu ◽  
Suyash Singh ◽  
Aditya Singh ◽  
Mohit Law
Keyword(s):  
Machine Tool ◽  
High Performance ◽  
Closed Loop ◽  
Dynamic Models ◽  
Static Model ◽  
Dynamical Model ◽  
Model Parameters ◽  
Closed Loop Control ◽  
Hydraulic Actuator ◽  
Loop Control

This paper characterizes the static, dynamic, and controlled behavior of a high-performance electro-hydraulic actuator to assess its suitability for use in evaluating machine tool behavior. The actuator consists of a double-acting piston and cylinder arrangement controlled by a servo valve and a separate rear chamber controlled by a separate valve, designed to work in conjunction to generate static forces of up to 7000 N that can be superposed with dynamic forces of up to ±1500 N. This superposition of periodic forces with a non-zero mean makes the actuator capable of applying realistic loading conditions like those experienced by machines during cutting processes. To characterize the performance of this actuator, linearized static and dynamic models are described. Since experiments with the actuator exhibit nonlinear characteristics, the linearized static model is expanded to include the influence of nonlinearities due to flow, leakages, saturations, and due to friction and hysteresis. Since all major nonlinearities are accounted for in the expanded static model, the dynamical model remains linear. Unknown static and dynamical model parameters are calibrated from experiments, and the updated models are observed to capture experimentally observed behavior very well. Validated models are used to tune the proportional and integral gains for the closed-loop control strategy, and the model-based tuning in turn guides appropriate closed-loop control of the actuator to increase its bandwidth to 200 Hz. The statically and dynamically characterized actuator can aid machine tool structural testing. Moreover, the validated models can instruct the design and development of other higher-performance electro-hydraulic actuators, guide the conversion of the actuator into a damper, and also test other advanced control strategies to further improve actuator performance.

A novel nonsingular integral terminal sliding mode control scheme in epilepsy treatment

2021 ◽  
pp. 014233122110507
Author(s):  
Moshu Qian ◽  
Zhen Zhang ◽  
Guanghua Zhong ◽  
Cuimei Bo
Keyword(s):  
Closed Loop ◽  
Controller Design ◽  
Sliding Mode ◽  
Tracking Error ◽  
Lyapunov Theory ◽  
Terminal Sliding Mode ◽  
Loop Control ◽  
Control Approach ◽  
Control Scheme ◽  
Loop Control System

In this paper, a closed-loop brain stimulation control problem is investigated using the nonsingular integral terminal sliding mode (NITSM) control approach. First, the thalamocortical model of epilepsy seizure is given, which is composed of the cortical PY-IN subnetwork and the subcortical RE-TC subsystem. Then, a nonsingular integral terminal sliding mode surface is designed utilizing the derived output tracking error, and the stability of the sliding mode dynamics is proved by Lyapunov approach. Furthermore, a disturbance observer (DOB) based NITSM controller design approach is proposed for the established thalamocortical model, and the reachability of the closed-loop control system under the designed controller is analyzed using Lyapunov theory. Finally, simulation results are given to illustrate the effectiveness and superiority of the designed control scheme.

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.

Sign in / Sign up

Export Citation Format

Share Document