Related papers: Omega risk model with tax
In this article, we prove the existence of optimal risk-sensitive control with state constraints. We use near monotone assumption on the running cost to prove the existence of optimal risk-sensitive control.
We focus on a particular connection between queueing and risk models in a multi-dimensional setting. We first consider the joint workload process in a queueing model with parallel queues and simultaneous arrivals at the queues. For the case…
In contemporary society, the effective utilization of public resources remains a subject of significant concern. A common issue arises from defectors seeking to obtain an excessive share of these resources for personal gain, potentially…
We study the problem of utility maximization from terminal wealth in which an agent optimally builds her portfolio by investing in a bond and a risky asset. The asset price dynamics follow a diffusion process with regime-switching…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
We consider the model of economic growth with time delayed investment function. Assuming the investment is time distributed we can use the linear chain trick technique to transform delay differential equation system to equivalent system of…
We present a minimal agent-based model of interacting agents characterized by their wealth to study taxation and inequality in a non-conservative economy. Wealth evolves through an extremal stochastic replacement process in which the…
Let $A$ be the generator of a strongly continuous cosine family $(\cos (tA))_{t\in {\bf R}}$ on a complex Banach space $E$. The paper develops an operational calculus for integral transforms and functions of $A$ using the generalized…
We consider the passage time problem for L\'evy processes, emphasising heavy tailed cases. Results are obtained under quite mild assumptions, namely, drift to $-\infty$ a.s. of the process, possibly at a linear rate (the finite mean case),…
Stochastic processes time-changed by an inverse subordinator have been suggested as a way to model the price of assets in illiquid markets, where the jumps of the subordinator correspond to periods of time where one is unable to sell an…
We present a novel off-policy loss function for learning a transition model in model-based reinforcement learning. Notably, our loss is derived from the off-policy policy evaluation objective with an emphasis on correcting distribution…
We study the asymptotic behavior of ruin probabilities, as the initial reserve goes to infinity, for a reserve process model where claims arrive according to a renewal process, while between the claim times the process has the dynamics of…
We consider a time-varying first-order autoregressive model with irregular innovations, where we assume that the coefficient function is H\"{o}lder continuous. To estimate this function, we use a quasi-maximum likelihood based approach. A…
We start by defining a subordinator by means of the lower-incomplete gamma function. It can be considered as an approximation of the stable subordinator, easier to be handled thank to its finite activity. A tempered version is also…
In this paper we deal with the optimal bankruptcy problem for an agent who can optimally allocate her consumption rate, the amount of capital invested in the risky asset as well as her leisure time. In our framework, the agent is endowed by…
In this article, we introduce a new definition of bankruptcy for a spectrally negative L\'evy insurance risk process. More precisely, we study the Gerber-Shiu distribution for a ruin model where at each time the surplus goes negative, an…
In this communication, some economic models given by functional mappings are addressed. These are models for random markets where agents trade by pairs and exchange their money in a random and conservative way. They display the exponential…
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
We present a time change construction of affine processes with state-space $\mathbb{R}_+^m\times \mathbb{R}^n$. These processes were systematically studied in (Duffie, Filipovi\'c and Schachermayer, 2003) since they contain interesting…