On the Measurement of financial market integration
On the necessary condition for the optimality of control in the problem of evasion in differential games
On the Novikov-Shiryaev optimal stopping problems in continuous time.
On the numerical resolution of Isaac's inequalities
On the open-open game
We modify a game due to Berner and Juhász to get what we call “the open-open game (of length ω)”: a round consists of player I choosing a nonempty open subset of a space X and II choosing a nonempty open subset of I’s choice; I wins if the union of II’s open sets is dense in X, otherwise II wins. This game is of interest for ccc spaces. It can be translated into a game on partial orders (trees and Boolean algebras, for example). We present basic results and various conditions under which I or II...
On the optimal reinsurance problem
In this paper we consider the optimal reinsurance problem in endogenous form with respect to general convex risk measures ϱ and pricing rules π. By means of a subdifferential formula for compositions in Banach spaces we first characterize optimal reinsurance contracts in the case of one insurance taker and one insurer. In the second step we generalize the characterization to the case of several insurance takers. As a consequence we obtain a result saying that cooperation brings less risk compared...
On the optimal strategy in a random game.
On the optimal target of a macroeconomic growth model.
On the order-completion of additive conjoint structures.
On the periodicity of genus sequences of quaternary games.
On the possibilities of fuzzification of the solution in fuzzy cooperative games.
Some possibilities of fuzzification of the von Neumann-Morgenstern solution of cooperative games with transferable utility (TU games) are briefly investigated. The fuzzification based on the transformation of individual fuzzy TU game into a fuzzy class of (deterministic) TU games with their own specific solutions is discussed.
On the probability of reaching a barrier in an Erlang(2) risk process.
In this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interocurrence times of Erlangian type. We focus our analysis on the probability that the process of surplus reaches a certain level before ruin occurs, χ(u,b). Our main contribution is the generalization obtained in the computation of χ(u,b) for the case of interocurrence...
On the problem in max algebra: every system of intervals is a spectrum
We consider the two-sided eigenproblem over max algebra. It is shown that any finite system of real intervals and points can be represented as spectrum of this eigenproblem.
On the Properties of Linear Programming models for National Planning
On the relation between two generalized cases of Thurstone's law of comparative judgment
On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution...
On the statistical properties of ergodic economic systems.
On the structure of Nash equilibrium sets in partially convex games.
On the structure of the core of balanced games
The uniform competitive solutions (u.c.s.) are basically stable sets of proposals involving several coalitions which are not necessarily disjoint. In the general framework of NTU games, the uniform competitive solutions have been defined in two earlier papers of the author (Stefanescu [5]) and Stefanescu [6]). The general existence results cover most situations formalized in the framework of the cooperative game theory, including those when the coalitional function is allowed to have empty values....