Related papers: Mathematical Constraints on Financially Viable Pub…
In computing, as in many aspects of life, changes incur cost. Many optimization problems are formulated as a one-time instance starting from scratch. However, a common case that arises is when we already have a set of prior assignments, and…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
We study welfare analysis for policy changes when supply and demand behavior are only partially known. We augment the robust approach pioneered by Kang and Vasserman (2025) by incorporating the supply side. We posit intervals of feasible…
This paper is devoted to general balance laws (with a possibly non local source term) with a non-characteristic boundary. Basic well posedness results are obtained, trying to provide sharp estimates. In particular, bounds tend to blow up as…
A simple computer simulation model of a closed market on a fixed network with free flow of goods and money is introduced. The model contains only two variables : the amount of goods and money beside the size of the system. An initially flat…
We consider a class of physiologically structured population models, a first order nonlinear partial differential equation equipped with a nonlocal boundary condition, with a constant external inflow of individuals. We prove that the…
While autonomous agents often surpass humans in their ability to handle vast and complex data, their potential misalignment (i.e., lack of transparency regarding their true objective) has thus far hindered their use in critical applications…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…
This paper proposes a portfolio construction framework designed to remain robust under estimation error, non-stationarity, and realistic trading constraints. The methodology combines dynamic asset eligibility, deterministic rebalancing, and…
The goal of the present study is to increase the intelligibility of macroeconomic phenomena triggered by governmental intervention in economy by means of fiscal policies. During cyclical movements, fiscal policy can play an important role…
Strong empirical evidence from laboratory experiments, and more recently from population surveys, shows that individuals, when evaluating their situations, pay attention to whether they experience gains or losses, with losses weighing more…
The stability analysis of socioeconomic systems has been centered on answering whether small perturbations when a system is in a given quantitative state will push the system permanently to a different quantitative state. However, typically…
This paper focuses on stochastic orders and its applications : policy limits and deductibles. Further, many applications and some examples are given : comparison of two families of copulas, individual and collective risk model, reinsurance…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…
We consider a single-server cyclic polling system with three queues where the server follows an adaptive rule: if it finds one of queues empty in a given cycle, it decides not to visit that queue in the next cycle. In the case of limited…
In the collective-risk social dilemma, players lose their personal endowments if contributions to the common pool are too small. This fact alone, however, does not always deter selfish individuals from defecting. The temptations to…
We demonstrate that the forecasting combination puzzle is a consequence of the methodology commonly used to produce forecast combinations. By the combination puzzle, we refer to the empirical finding that predictions formed by combining…
Structural balance theory has been developed in sociology and psychology to explain how interacting agents, e.g., countries, political parties, opinionated individuals, with mixed trust and mistrust relationships evolve into polarized…
Japan's population is shrinking, the share of working-age people is falling, and the number of elderly is growing fast. These trends squeeze public finances from both sides--fewer people paying taxes and more people drawing on pensions and…