Related papers: Deterministic definition of the capital risk
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
We build on the theory of capital requirements (CRs) to create a new framework for modeling dynamic risk preferences. The key question is how to evaluate the risk of a payoff stream sequentially as new information is revealed. In our model,…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
A two-state master equation based decision making model has been shown to generate phase transitions, to be topologically complex and to manifest temporal complexity through an inverse power-law probability distribution function in the…
The objective of this article is to formalize the definition of NP problems. We construct a mathematical model of discrete problems as independence systems with weighted elements. We introduce two auxiliary sets that characterize the…
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and…
Experiments violating Bell's inequality appear to indicate deterministic models do not correspond to a realistic theory of quantum mechanics. The theory of pilot waves seemingly overcomes this hurdle via nonlocality and statistical…
Choice functions constitute a simple, direct and very general mathematical framework for modelling choice under uncertainty. In particular, they are able to represent the set-valued choices that typically arise from applying decision rules…
We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is…
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…
Dynamic decisions are pivotal to economic policy making. We show how existing evidence from randomized control trials can be utilized to guide personalized decisions in challenging dynamic environments with budget and capacity constraints.…
We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…
A mechanical system is presented exhibiting a non-deterministic singularity, that is, a point in an otherwise deterministic system where forward time trajectories become non-unique. A Coulomb friction force applies linear and angular forces…
We reconsider the deterministic haploid mutation-selection equation with two types. This is an ordinary differential equation that describes the type distribution (forward in time) in a population of infinite size. This paper establishes…
We consider an investment problem in which an investor performs capital injections to increase the liquidity of a firm for it to maximise profit from market operations. Each time the investor performs an injection, the investor incurs a…
In this work we discuss different interpretations of mass in the relativistic dynamics. A new way to introduce mass is proposed. Our way is based on the relativistic equation of motion expressed in the form of the Newton$'$s second law. In…
We study an evolution cross-diffusion problem with mutualistic Lotka-Volterra reaction term to modelize the long-term spatial distribution of labor and capital. The mutualistic behavior is deduced from the gradient flow associated to…
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions…
A new method of deriving comparative statics information using generalized compensated derivatives is presented which yields constraint-free semidefiniteness results for any differentiable, constrained optimization problem. More generally,…