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The aim of this paper is to define the market-consistent multi-period value of an insurance liability cash flow in discrete time subject to repeated capital requirements, and explore its properties. In line with current regulatory…
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payoff rate that is a function of a stochastic economic…
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…
The Consumer Financial Protection Bureau defines the notion of payoff amount as the amount that has to be payed at a particular time in order to completely pay off the debt, in case the lender intends to pay off the loan early, way before…
The estimation of project completion time is to be repeated several times in the project planning phase to reach the optimal tradeoff between time, cost, and quality. Estimation procedures provide either an interval or a point estimate. The…
This paper considers time-inconsistent problems when control and stopping strategies are required to be made simultaneously (called stopping control problems by us). We first formulate the timeinconsistent stopping control problems under…
The consumer store is ubiquitous and plays an important role in our everyday lives. It is an open question why stores usually have such short life cycles (typically around 3 years in China). This paper proposes a theoretical framework based…
We analyze an irreversible investment decision for a project which yields a flow of future operating profits given by a geometric Brownian motion with unknown drift. In contrast to similar optimal stopping problems with incomplete…
An investor is estimating net present value of a firm project and performs risk analysis. Usually it is created portfolio hierarchies and make comparison of variants of project based on these hierarchies. Then one finds that portfolio which…
We consider a financial contract that delivers a single cash flow given by the terminal value of a cumulative gains process. The problem of modelling and pricing such an asset and associated derivatives is important, for example, in the…
Energy networks should strive for reliability. How can it be assessed, measured, and improved? What are the best trade-offs between investments and their worth? The flow-based framework for the reliability assessment of energy networks…
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…
The long-run average payoff per transition (mean payoff) is the main tool for specifying the performance and dependability properties of discrete systems. The problem of constructing a controller (strategy) simultaneously optimizing several…
Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and…
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash…
We study the thermodynamic formalism for suspension flows over countable Markov shifts with roof functions not necessarily bounded away from zero. We establish conditions to ensure the existence and uniqueness of equilibrium measures for…
This short paper deals with parallel scientific applications using non-blocking and periodic coordinated checkpointing to enforce resilience. We provide a model and detailed formulas for total execution time and consumed energy. We…
This paper introduces a class of investment project's profitability metrics that includes the net present value (NPV) criterion (which labels a project as weakly profitable if its NPV is nonnegative), internal rate of return (IRR),…
We study financial systems from a game-theoretic standpoint. A financial system is represented by a network, where nodes correspond to firms, and directed labeled edges correspond to debt contracts between them. The existence of cycles in…
Projects are finite terminating endeavors with distinctive outcomes, usually, occurring under transient conditions. Nevertheless, most estimation, planning, and scheduling approaches overlook the dynamics of project-based systems in…