Stochastic surplus process and constrained portfolio optimization with VaR and CVaR



Stochastic Surplus Process and Constrained Portfolio Optimisation with VaR and CVaR
Şimşek, Meral; Uğur, Ömür; Kestel, Sevtap Ayşe (2016-09-05)
Stochastic surplus processes with VaR AND CVaR simulations in actuarial applications
Şimşek, Meral; Uğur, Ömür; Kestel, Sevtap Ayşe; Department of Actuarial Sciences (2016)
The theory of ruin is a substantial study for those who are interested in financial survival probability based on the patterns imposed by the surplus process, which determines the insurer’s capital balance at a given time. In other words, fluctuations in aggregate claims as well as premiums in such processes can be secured by a certain capital. In this study, we simulate various surplus processes under different claim sizedistribution assumptions and extend the analyses by adding perturbation of a Brownian mo...
Stochastic optimal control theory: new applications to finance and insurance
Akdoğan, Emre; Yolcu Okur, Yeliz; Weber, Gerhard Wilhelm; Department of Financial Mathematics (2017)
In this study, the literature, recent developments and new achievements in stochastic optimal control theory are studied. Stochastic optimal control theory is an important direction of mathematical optimization for deriving control policies subject to timedependent processes whose dynamics follow stochastic differential equations. In this study, this methodology is used to deal with those infinite-dimensional optimization programs for problems from finance and insurance that are indeed motivated by the real l...
Stochastic assembly line balancing problems involving robots and reliability restriction
Şahin, Muhammet Ceyhan; Tural, Mustafa Kemal; Department of Industrial Engineering (2022-7-1)
When considering assembly processes in the manufacturing ecosystem, the task times may vary from cycle to cycle, especially in assembly lines where manual operations are abundant. Line stops, defective products, and off-line tasks caused by the uncertainty in assembly processes can be highly costly for companies. Stochastic assembly line balancing problems (SALBPs) consider the task processing times as random variables to deal with uncertainty in real-life assembly operations. The difficulties faced due to...
Stochastic optimization applied to self-financing portfolio: does bequest matter?
Gazioglu, Saziye; Bastiyali-Hayfavi, Azize (Informa UK Limited, 2010-01-01)
The article studies stochastic optimization of an intertemporal consumption model to allocate financial assets between risky and risk-free assets. We use a stochastic optimization technique, in which utility is maximized subject to a self-financing portfolio constraint. The papers in literature have estimated the errors of Euler equations using data from financial markets. It has been shown that it is sufficient to test the first order Euler equation implied by the model. However, they all assume a constant...
Citation Formats
M. Şimşek, Ö. Uğur, and S. A. Kestel, “Stochastic surplus process and constrained portfolio optimization with VaR and CVaR,” 2016, Accessed: 00, 2021. [Online]. Available: