Related papers: Non-Life Insurance Pricing : Statistical Mechanics…
In this paper, we investigate the robust optimal reinsurance,investment,and internal surplus distribution (i.e., consumption) problem for an insurer with Epstein-Zin recursive preferences in an incomplete market. It is assumed that the…
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
A two-temperature linear spin model is presented that allows an easily understandable introduction to non-equilibrium statistical physics. The model is one that includes the concepts that are typical of more realistic non-equilibrium models…
We argue that insurance can act as an analogon for the social situatedness of machine learning systems, hence allowing machine learning scholars to take insights from the rich and interdisciplinary insurance literature. Tracing the…
The collective risk model differentiates usually between claims frequencies (and their distribution) and claim sizes (and their distribution). For the claims frequencies typically classical discrete distributions are considered, such as…
Unlike equilibrium statistical mechanics, with its well-established foundations, a similar widely-accepted framework for non-equilibrium statistical mechanics (NESM) remains elusive. Here, we review some of the many recent activities on…
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…
The economic life of an asset is the optimum length of its usefulness, which is the moment that the asset's expenses are minimum. In this paper, the economic life of physical assets, such as industry machine and equipment, can be…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…
The rapid development and deployment of vehicle technologies offer opportunities to re-think the way traffic is managed. This paper capitalizes on vehicle connectivity and proposes an economic instrument and corresponding cooperative…
In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the…
A monopolist offers personalized prices to consumers with unit demand, heterogeneous values, and idiosyncratic costs, who differ in a protected characteristic, such as race or gender. The seller is subject to a non-discrimination…
We consider two sided matching markets consisting of agents with non-transferable utilities; agents from the opposite sides form matching pairs (e.g., buyers-sellers) and negotiate the terms of their math which may include a monetary…
The emerging "agentic web" envisions large populations of autonomous agents coordinating, transacting, and delegating across open networks. Yet many agent communication and commerce protocols treat agents as low-cost identities, despite the…
In statistical physics, the conservation of particle number results in the equalization of the chemical potential throughout a system at equilibrium. In contrast, the homogeneity of utility in socio-economic models is usually thought to…
The empirical laws of chemical kinetics are studied from a microscopic point of view. An analysis based on elementary probability theory and combinatorics is enough to explain the kinetics law observed in experiments. Thus, an out of…
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic…
Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.