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Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity of the value function
2010/12/8
This paper is concerned with cost optimization of an insurance company. The sur-plus of the insurance company is modeled by a controlled regime switching diffusion,where the regime switching mechanism...
An approach to the implementation of European Directive 2007/60/EC on flood risk management in the Czech Republic
implementation f European Directive Czech Republic
2010/10/21
Directive 2007/60/EC of the European Parliament and of the Council of 23 October 2007 on the assessment and management of flood risks (the Flood Risk Directive) signifies that flood risk analysis meth...
Optimal Dividend and reinsurance strategy of a Property Insurance Company under Catastrophe Risk
Optimal dividend and reinsurance strategy Optimal return function Catastrophe risk
2010/12/15
We consider an optimal control problem of a property insurance company with proportional reinsurance strategy. The insurance business brings in catastrophe risk, such as earthquake and
flood.
The efficiency of a risk reduction program for debris-flow disasters – a case study of the Songhe community in Taiwan
The efficiency risk reduction program debris-flow disasters case study the Songhe community Taiwan
2010/10/21
A risk reduction program was developed after debris-flow disaster analysis is conducted using mitigation structures, evacuation measures and community restrained expansion strategy. The risk assessmen...
Microzonation of seismic risk in a low-rise Latin American city based on the macroseismic evaluation of the vulnerability of residential buildings: Colima city, México
Microzonation seismic risk low-rise Latin American city based the macroseismic evaluation
2010/10/20
A macroseismic methodology of seismic risk microzonation in a low-rise city based on the vulnerability of residential buildings is proposed and applied to Colima city, Mexico. The seismic risk microzo...
Quantitative assessment of direct and indirect landslide risk along transportation lines in southern India
Quantitative assessment direct indirect landslide risk along transportation lines southern India
2010/10/20
A quantitative approach for landslide risk assessment along transportation lines is presented and applied to a road and a railway alignment in the Nilgiri hills in southern India. The method allows es...
E7 PROTEINS OF HIGH-RISK (TYPE 16) AND LOW-RISK (TYPE 6) HUMAN PAPILLOMAVIRUSES REGULATE p130 DIFFERENTLY
E7 protein pRb family members
2015/5/21
Human papillomaviruses (HPVs) are one of the most common causes of sexually transmitted disease in the world. HPVs are divided into high-risk (HR) or low-risk (LR) types based on their oncogenic poten...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process BSDE
2010/4/27
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of t...
Risk Sensitive Investment Management with Affine Processes: a Viscosity Approach
Asset management risk-sensitive stochastic control jump diffusion processes Poissonpoint processes Levy processes HJBPDE policy mprovement
2010/4/27
In this paper, we extend the jump-diffusion model proposed by Davis and Lleo to include jumps in asset prices as well as valuation factors. The criterion, following earlier work by Bielecki, Pliska, N...
Accounting for risk of non linear portfolios: a novel Fourier approach
non linear portfolios novel Fourier approach
2010/4/27
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. ...
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures...
Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles
uncertain cash flows Model ambiguity discounting ambiguity
2010/4/27
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito, Delbaen, and Kupper (2006). These risk measures take into accoun...
We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found to be robust against ...
We analyze operational risk in terms of a spin glass model. Several regimes are investigated, as a functions of the parameters that characterize the dynamics. The system is found to be robust against ...
A DNA test that reveals a person’s risk of certain diseases could be developed with technology created at the University.Scientists have developed a low-cost method of pinpointing variations in a pers...