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Shortfall risk minimization in discrete time financial market models
International audience -
Optimal risk control and dividend pay-outs under excess of loss reinsurance
We study the optimal reinsurance policy and dividends distribution of an insurance company under excess of loss reinsurance. The insurer gives part of its premium... -
Shape-from-Shading and Viscosity Solutions
This research report presents an approach to the shape from shading problem which is based upon the notion of viscosity solutions to the shading partial differential... -
Optimal Risk Control under Excess of Loss Reinsurance
We study the optimal reinsurance policy of an insurance company which gives part of its premium stream to another compagny in exchange of an obligation to support the... -
A Contribution in Stochastic Control Applied to Finance and Insurance
The aim of this thesis is to investigate some solutions to the pricing of contingent claims in incomplete markets. We first consider the stochastic target introduced... -
Linearization techniques for $\mathbb{L}^{\infty}$-control problems and dynam...
International audience -
Stochastic representation for solutions of Isaacs' type integral-partial diff...
International audience -
Discontinuous control problems with state constraints : Linear formulations a...
International audience -
A note on solutions to controlled martingale problems and their conditioning
In this note, we rigorously justify a conditioning argument which is often (explicitly or implicitly) used to prove the dynamic programming principle in the stochastic... -
Min-max control problems via occupational measures
International audience -
Portfolio optimization in a default model under full/partial information
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times....
