:: Library Catalog

Cover Image

Saved in:

Bibliographic Details
Main Authors:	Barzykin, Alexander, Ciceri, Axel
Format:	Preprint
Published:	2026
Subjects:	Risk Management 93E20 (Primary) 91B24, 91B70 (secondary)
Online Access:	https://arxiv.org/abs/2604.20406
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
by: Feys, Frank M. V.
Published: (2026)

Win-score promotion gates in aggregator-routed RFQ markets: A two-tier stochastic control model
by: Barzykin, Alexander
Published: (2026)

Dynamic slippage control and rejection feedback in spot FX market making
by: Barzykin, Alexander
Published: (2026)

The Price of Information
by: Jaimungal, Sebastian, et al.
Published: (2024)

A new approach to principal-agent problems with volatility control
by: Chiusolo, Alessandro, et al.
Published: (2024)

Superhedging under Proportional Transaction Costs in Continuous Time
by: Almuzaini, Atiqah, et al.
Published: (2025)

When Indemnity Insurance Fails: Parametric Coverage under Binding Budget and Risk Constraints
by: Avanzi, Benjamin, et al.
Published: (2025)

Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
by: Tam, Brandon, et al.
Published: (2026)

A note on continuity and asymptotic consistency of measures of risk and variability
by: Gao, Niushan, et al.
Published: (2024)

Time-consistent pension policy with minimum guarantee and sustainability constraint
by: Hillairet, Caroline, et al.
Published: (2022)

Market Making with Exogenous Competition
by: Boyce, Robert, et al.
Published: (2024)

Striking the Balance: Life Insurance Timing and Asset Allocation in Financial Planning
by: Chen, An, et al.
Published: (2023)

General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework
by: Dupret, Jean-Loup, et al.
Published: (2026)

Pareto-optimal reinsurance under dependence uncertainty
by: Boonen, Tim J., et al.
Published: (2025)

Extended Convolution Bounds on the Fréchet Problem: Robust Risk Aggregation and Risk Sharing
by: Liu, Peng, et al.
Published: (2025)

Risk sharing with Lambda value at risk under heterogeneous beliefs
by: Liu, Peng, et al.
Published: (2024)

Discrete time optimal investment under model uncertainty
by: Carassus, Laurence, et al.
Published: (2023)

On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis
by: Avanzi, Benjamin, et al.
Published: (2023)

Optimal Dividend, Reinsurance, and Capital Injection for Collaborating Business Lines under Model Uncertainty
by: Boonen, Tim J., et al.
Published: (2026)

Optimal Dividend, Reinsurance and Capital Injection Strategies for Collaborating Business Lines: The Case of Excess-of-Loss Reinsurance
by: Boonen, Tim J., et al.
Published: (2025)

Optimal Dividend, Reinsurance, and Capital Injection Strategies for an Insurer with Two Collaborating Business Lines
by: Boonen, Tim J., et al.
Published: (2025)

Robust Reinforcement Learning with Dynamic Distortion Risk Measures
by: Coache, Anthony, et al.
Published: (2024)

Stochastic Analysis of Overlapping Generations Models Under Incomplete Markets
by: Chen, Cangxiong, et al.
Published: (2025)

Worst-Case Optimal Investment in Incomplete Markets
by: Desmettre, Sascha, et al.
Published: (2023)

A unifying view on the irreversible investment exercise boundary in a stochastic, time-inhomogeneous capacity expansion problem
by: Chiarolla, Maria B.
Published: (2022)

Closed-loop equilibria for Stackelberg games: a story about stochastic targets
by: Hernández, Camilo, et al.
Published: (2024)

An optimal investment strategy aimed at maximizing the expected utility across all intermediate capital levels
by: Cerda-Hernandez, J., et al.
Published: (2022)

Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures
by: Goulard, Aline, et al.
Published: (2025)

Emission impossible: Balancing Environmental Concerns and Inflation
by: Aïd, René, et al.
Published: (2025)

Decision-Making Frameworks for Network Resilience -- Managing and Mitigating Systemic (Cyber) Risk
by: Svindland, Gregor, et al.
Published: (2023)

Generalized Families of Fractional Stochastic Dominance
by: Azmoodeh, Ehsan, et al.
Published: (2023)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)

Optimal Risk Sharing Without Preference Convexity: An Aggregate Convexity Approach
by: Melnikov, Vasily
Published: (2025)

A General Theory of Risk Sharing
by: Melnikov, Vasily
Published: (2025)

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Fei, Zhe, et al.
Published: (2025)

An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company
by: Kelbert, Mark, et al.
Published: (2023)

Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
by: Mastrogiacomo, Elisa, et al.
Published: (2023)

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
by: Arratia, Argimiro, et al.
Published: (2025)

Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)

Optimal annuitization with labor income under age-dependent force of mortality
by: Birungi, Criscent, et al.
Published: (2025)