Das Hattendorffsche Risiko kontinuierlicher Versicherungen mit mehrfachen Auflösungsmöglichkeiten
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Hans Koeppler (1935)
Aktuárské vědy
Hans Koeppler (1931)
Aktuárské vědy
Hans Koeppler (1933)
Aktuárské vědy
Hans Koeppler (1933)
Aktuárské vědy
Gastaldi, Carlota, Urrea, Marcel, Fernández de Córdoba, Pedro (1998)
Divulgaciones Matemáticas
R. S. Bucy, R. S. Diesposti (1993)
ESAIM: Mathematical Modelling and Numerical Analysis - Modélisation Mathématique et Analyse Numérique
Sixto Ríos Insua (1982)
Trabajos de Estadística e Investigación Operativa
This paper gives a formalization of the relation between the Debreu's value function and the Von Neumann's utility function, with a generalization of this result for their respective vectorial functions. Finally the problem of incorporating complementary information is considered.
Sixto Ríos García, Sixto Rios-Insua (1981)
Revista de la Real Academia de Ciencias Exactas Físicas y Naturales
Václav Beran (2003)
Applications of Mathematics
Economic and management theories are very often based in their applications on the perception of homogeneity of the application space. The purpose of this article is to query such a conviction and indicate new possible directions of discipline development. The article deals with symbiosis of process and his steering model as a process of management. It is possible that in relative near future it will be necessary to accept approaches and changes in interpretations of decision-making. Applications...
Qingjian Zhou, Jia Jiao, Datian Niu, Deli Yang (2013)
RAIRO - Operations Research - Recherche Opérationnelle
This paper broadens the exponential utility function commonly used by risk-averse investors to the linear plus double exponential utility function, which is applicable in most cases. Thus it is of essential and supreme significance to conduct a research on its optimal investment portfolio in securities investment. This paper, by means of the non-difference curve method, carries out a research into the optimal portfolio decision-making by investors who have this type of utility function. The optimal...
Ivan Kramosil (2006)
Kybernetika
The notion and theory of statistical decision functions are re-considered and modified to the case when the uncertainties in question are quantified and processed using lattice-valued possibilistic measures, so emphasizing rather the qualitative than the quantitative properties of the resulting possibilistic decision functions. Possibilistic variants of both the minimax (the worst-case) and the Bayesian optimization principles are introduced and analyzed.
A. Y. BILLOT AND J. LANFRACHI (1999)
Revista de la Real Academia de Ciencias Exactas Físicas y Naturales
Kengy Barty, Pierre Carpentier, Pierre Girardeau (2010)
RAIRO - Operations Research
In this paper, we present an Uzawa-based heuristic that is adapted to certain type of stochastic optimal control problems. More precisely, we consider dynamical systems that can be divided into small-scale subsystems linked through a static almost sure coupling constraint at each time step. This type of problem is common in production/portfolio management where subsystems are, for instance, power units, and one has to supply a stochastic power demand at each time step. We outline the framework...
Jacek Jakubowski, Mariusz Niewęgłowski (2010)
Applicationes Mathematicae
A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Lévy factors is considered. The setting includes rating migrations driven by a Markov chain. All basic types of recovery are investigated. We formulate necessary and sufficient conditions (generalized HJM conditions) under which the market is arbitrage-free. Connections with consistency conditions are discussed.
Bielecki, Tomasz R., Crépey, Stéphane, Jeanblanc, Monique, Rutkowski, Marek (2009)
Journal of Applied Mathematics and Stochastic Analysis
Andreas Blass (1972)
Fundamenta Mathematicae
Sylvain Sorin, Cheng Wan (2013)
RAIRO - Operations Research - Recherche Opérationnelle
This work studies a new strategic game called delegation game. A delegation game is associated to a basic game with a finite number of players where each player has a finite integer weight and her strategy consists in dividing it into several integer parts and assigning each part to one subset of finitely many facilities. In the associated delegation game, a player divides her weight into several integer parts, commits each part to an independent delegate and collects the sum of their payoffs in...
Anthony Horsley, A. J. Wrobel (2006)
Banach Center Publications
Norm-to-weak* continuity of excess demand as a function of prices is proved by using our two-topology variant of Berge's Maximum Theorem. This improves significantly upon an earlier result that, with the extremely strong finite topology on the price space, is of limited interest, except as a vehicle for proving equilibrium existence. With the norm topology on the price space, our demand continuity result becomes useful in applications of equilibrium theory, especially to problems with continuous...
Manuel A. Torres-Gomar, Rolando Cavazos-Cadena, Hugo Cruz-Suárez (2024)
Kybernetika
This paper studies Markov stopping games with two players on a denumerable state space. At each decision time player II has two actions: to stop the game paying a terminal reward to player I, or to let the system to continue it evolution. In this latter case, player I selects an action affecting the transitions and charges a running reward to player II. The performance of each pair of strategies is measured by the risk-sensitive total expected reward of player I. Under mild continuity and compactness...
Tomasz R. Bielecki, Marek Rutkowski (2003)
Applicationes Mathematicae
The paper deals with the modelling of mutually dependent default times of several credit names through the intensity-based approach. We extend to the case of multiple ratings some previous results due to Schmidt (1998), Kusuoka (1999) and Jarrow and Yu (2001). The issue of the arbitrage valuation of simple basket credit derivatives is also briefly examined. We argue that our approach leads, in some cases, to a significant reduction of the dimensionality of the valuation problem at hand.
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