Dynamic stochastic matching problems arise in a variety of recent applications, ranging from ridesharing and online video games to kidney exchange. Such problems are naturally formulated as Markov ...

Stochastic Sauna is a traditional workshop that brings together researchers and students working on probability, statistics, and their applications. The 2022 occasion will be held on 20th December ...

In this paper we study the problems of pricing and optimizing sidecar and collateralized reinsurance portfolios. The academic literature on sidecar portfolio optimization that takes into account the ...

We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...

Research areas: Machine Learning-Augmented Optimization, Probabilistic Machine Learning, Large-Scale Combinatorial Optimization, Stochastic Programming, Uncertainty Quantification, Supply/Value Chain ...