Browsing Theses by Supervisor "Ghossoub, Mario"
Now showing items 1-2 of 2
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Budget-Constrained Optimal Insurance with an Upper Limit on the Insurer's Exposure
(University of Waterloo, 2021-01-13)This thesis studies the problem of budget-constrained optimal insurance indemnification when the insurer imposes an upper limit on disbursement. In balancing the trade-off between the cost of paying the insurance premium ... -
Cost-Efficient Contingent Claims with Choquet Pricing
(University of Waterloo, 2020-09-30)We examine a problem, in which an investor seeks the cheapest contingent claim that achieves a minimum performance subject to a maximum allowed risk exposure. Specifically, our problem minimizes a non-linear cost functional, ...