Durchschnittliche Prämienreserve in der Sozialversicherung. II
Dynamic analysis of oligopsony under adaptive expectations.
Dynamic bifurcation diagrams for some models in economics and biology.
Dynamic dependence ordering for Archimedean copulas and distorted copulas
This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i. e. given remaining lifetimes , to compare the dependence of given , and given , where . More precisely, analytical results will be obtained in the case the survival copula of is either Archimedean or a distorted copula. The case of a frailty based model will also be discussed in details.
Dynamic monetary risk measures for bounded discrete-time processes.
Dynamic oligopolies with production factors.
Dynamic programming for an investment/consumption problem in illiquid markets with regime-switching
We consider an illiquid financial market with different regimes modeled by a continuous time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to liquidity shocks, which change its rate of return and volatility, and induce jumps on its dynamics. In this setting, we study the problem of an economic agent optimizing her expected utility from consumption...
Dynamic reforming of a quasi pay-as-you-go social security system within a discrete stochastic multidimensional framework using optimal control methods
In many western economies, the phenomenon of ageing population implies that the large Pay-As-You-Go (PAYGO) social security system will run into several severe financial difficulties. In that direction, this paper constructs a discrete-time stochastic model for a quasi PAYGO social security system to allow the potential accumulation of a special (contingency) fund, which can oscillate so as to absorb fluctuations in the various system parameters involved. The basic difference equation is analytically...
Dynamic term structure modelling with default and mortality risk: new results on existence and monotonicity
This paper considers dynamic term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We study general forward rate curves driven by infinitely many Brownian motions and an integer-valued random measure, generalizing existing approaches in the literature. A precise characterization of absence of arbitrage in such markets is given in terms of a suitable criterion for no asymptotic free lunch (NAFL). From this, we obtain drift conditions which are equivalent...
Dynamical analysis of a demand governed market.
Dynamics of loans in the Polish banking system