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Author

Michael Bowdin

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Open access Aug 2026

Viscosity Solutions and Mean Field Equilibria for Nonlocal Stochastic Control Under Catastrophe and Replacement-Cost Risk

We develop a stochastic-control and mean field game framework for catastrophe insurance under stochastic replacement-cost risk. Insurer surplus follows a controlled jump diffusion in which catastrophe losses are scaled by an exogenous mean-reverting replacement-cost factor and attenuated through physical hedging. We es...

Paramahansa Pramanik, Michael Bowdin · 0 citations
Preprint Aug 2026

Dynamic Physical Hedging amid Jump Losses, Reconstruction-Price Uncertainty, Population Interactions

We study dynamic physical hedging for insurers exposed jointly to catastrophe losses and stochastic reconstruction costs. Surplus evolves as a controlled jump diffusion whose loss amplitude combines marked catastrophe severity, an exogenous mean-reverting cost factor, and endogenous mitigation. We establish well-posedn...

Paramahansa Pramanik, Michael Bowdin · 0 citations

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