Browsing University of Waterloo by Subject "stochastic control"
Now showing items 1-8 of 8
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Economics of Ramping Rate Restrictions at Hydro Power Plants: Balancing Profitability and Environmental Concerns
(University of Waterloo, 2014-08-01)This thesis consists of three essays on the economics of ramping rate restrictions at hydro power plants. The first essay examines the impact of ramping rate restrictions imposed on hydro operations to protect aquatic ... -
Hedging in a Financial Market with Regime-Switching
(University of Waterloo, 2021-10-06)It is well-known that in the complete standard financial market model driven solely by Brownian motion, one can always hedge a given contingent claim starting from an appropriate initial wealth. In other words, there always ... -
Individual insurance choice: A stochastic control approach
(University of Waterloo, 2023-02-28)This thesis applies the stochastic control approach to study the optimal insurance strategy for three problems. The first problem studies the optimal non-life insurance for an individual exhibiting internal habit formation ... -
Numerical Methods for Continuous Time Mean Variance Type Asset Allocation
(University of Waterloo, 2010-04-19)Many optimal stochastic control problems in finance can be formulated in the form of Hamilton-Jacobi-Bellman (HJB) partial differential equations (PDEs). In this thesis, a general framework for solutions of HJB PDEs in ... -
Numerical Methods for Optimal Stochastic Control in Finance
(University of Waterloo, 2008-06-17)In this thesis, we develop partial differential equation (PDE) based numerical methods to solve certain optimal stochastic control problems in finance. The value of a stochastic control problem is normally identical to the ... -
Optimal Decumulation for Retirees using Tontines: a Dynamic Neural Network Based Approach
(University of Waterloo, 2023-09-19)We introduce a new approach for optimizing neural networks (NN) using data to solve a stochastic control problem with stochastic constraints. We utilize customized activation functions for the output layers of the NN, ... -
Optimal Investing Strategies for Participating Contracts
(Elsevier, 2017-03)Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer ... -
Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
(Elsevier, 2019-03)In this paper, we investigate the optimal time-consistent investment–reinsurance strategies for an insurer with state dependent risk aversion and Value-at-Risk (VaR) constraints. The insurer can purchase proportional ...