We present here a pricing model which is an extension of the cooperative game concept and which includes a notion of elastic demand. We present some existence results as well as an algorithm, and we conclude by discussing a specific problem related to network pricing.
This paper deals with the problem of risk measurement under mixed operation. For this purpose, we divide the basic risks into several groups based on the actual situation. First, we calculate the bounds for the subsum of every group of basic risks, then we obtain the bounds for the total sum of all the basic risks. For the dependency relationships between the basic risks in every group and all of the subsums, we give different copulas to describe them. The bounds for the aggregated risk under mixed...
The paper deals with models of household economy with infinitely many agents classified into a finite number of types. The notions of competitive equilibrium, core and quasi-core are examined with special emphasis on their mutual relations.
The extended notion of pure exchange economy under uncertainty, called an economy with awareness structure, is presented, where each trader having strictly monotone preferences makes decision under his/her awareness and belief. We show an extension of the core equivalence theorem: The ex-post core coincides with the set of all generalized expectations equilibria in awareness for the economy.
The paper deals with noncooperative games in which players constitute a measure space. Strategy profiles that are equal almost everywhere are assumed to have the same interactive effects. Under these circumstances we explore links between core solutions and Nash equilibria. Conditions are given which guarantee that core outcomes must be Nash equilibria and vice versa. The main contribution are results on nonemptieness of the core.
This paper deals with an extension of the concept of correlated strategies to Markov stopping games. The Nash equilibrium approach to solving nonzero-sum stopping games may give multiple solutions. An arbitrator can suggest to each player the decision to be applied at each stage based on a joint distribution over the players' decisions. This is a form of equilibrium selection. Examples of correlated equilibria in nonzero-sum games related to the staff selection competition in the case of two departments...
Correspondence analysis followed by clustering of both rows and columns of a data matrix is proposed as an approach to two-way clustering. The novelty of this contribution consists of: i) proposing a simple method for the selecting of the number of axes; ii) visualizing the data matrix as is done in micro-array analysis; iii) enhancing this representation by emphasizing those variables and those individuals which are 'well represented' in the subspace of the chosen axes. The approach is applied...
In this paper we determine lowest cost strategies for given payoff distributions called cost-efficient strategies in multivariate exponential Lévy models where the pricing is based on the multivariate Esscher martingale measure. This multivariate framework allows to deal with dependent price processes as arising in typical applications. Dependence of the components of the Lévy Process implies an influence even on the pricing of efficient versions of univariate payoffs.We state various relevant existence...