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We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…

Consider an insurance company exposed to a stochastic economic environment that contains two kinds of risk. The first kind is the insurance risk caused by traditional insurance claims, and the second kind is the financial risk resulting…

In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…

The equivalence between multiportfolio time consistency of a dynamic multivariate risk measure and a supermartingale property is proven. Furthermore, the dual variables under which this set-valued supermartingale is a martingale are…

We consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cram\'er-Lundberg model, namely the constant jump intensity of the Poisson process. Due to this…

This article considers the average optimality for a continuous-time Markov decision process with Borel state and action spaces and an arbitrarily unbounded nonnegative cost rate. The existence of a deterministic stationary optimal policy is…

We present a general prediction scheme of failure times based on updating continuously with time the probability for failure of the global system, conditioned on the information revealed on the pre-existing idiosyncratic realization of the…

We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…

In ruin theory, the net profit condition intuitively means that the incurred random claims on average do not occur more often than premiums are gained. The breach of the net profit condition causes guaranteed ruin in few but simple cases…

In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by…

This paper addresses the risk-minimization problem, with and without mortality securitization, \`a la F\"ollmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework…

We consider a spectrally-negative Markov additive process as a model of a risk process in random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees…

Markets composed of stocks with capitalization processes represented by positive continuous semimartingales are studied under the condition that the market excess growth rate is bounded away from zero. The following examples of these…

We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…

Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…

We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model…

Robust optimization methods have shown practical advantages in a wide range of decision-making applications under uncertainty. Recently, their efficacy has been extended to multi-period settings. Current approaches model uncertainty either…

We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external…

We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Ito process or a positive diffusion with Markov switching. In particular,…

We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…