Related papers: Premium Calculation Based on Physical Principles
In this paper, we extend and improve the production chain model introduced by Kikuchi et al. (2018). Utilizing the theory of monotone concave operators, we prove the existence, uniqueness, and global stability of equilibrium price, hence…
In Boltzmannian statistical mechanics macro-states supervene on micro-states. This leads to a partitioning of the state space of a system into regions of macroscopically indistinguishable micro-states. The largest of these regions is…
We demonstrate the equilibration of isolated macroscopic quantum systems, prepared in non-equilibrium mixed states with significant population of many energy levels, and observed by instruments with a reasonably bound working range compared…
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…
Nash equilibrium serves as a fundamental mathematical tool in economics and game theory. However, it classically assumes knowledge of player utilities, whereas economics generally regards preferences as more fundamental. To leverage…
The aim of this study is to develop a method that would enable the company to prioritize the means contributing the most to its performance. The proposed method is based on the profit margin (an economical performance measure of the…
In this paper, a general model of a pure exchange differential information economy is studied. In this economic model, the space of states of nature is a complete probability measure space, the space of agents is a measure space with a…
The expansion of a classical Hamilton formalism consisting in adaptation of it to describe the nonequilibrium systems is offered. Expansion is obtained by construction of formalism on the basis of the dynamics equation of the equilibrium…
In many first-price auctions, bidders face considerable strategic uncertainty: They cannot perfectly anticipate the other bidders' bidding behavior. We propose a model in which bidders do not know the entire distribution of opponent bids…
We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…
New theoretical approaches about forecasting stock markets are proposed. A mathematization of the stock market in terms of arithmetical relations is given, where some simple (non-differential, non-fractal) expressions are also suggested as…
The Boltzmann and Gibbs approaches to statistical mechanics have very different definitions of equilibrium and entropy. The problems associated with this are discussed and it is suggested that they can be resolved, to produce a version of…
We construct a theoretical model for equilibrium distribution of workers across sectors with different labor productivity, assuming that a sector can accommodate a limited number of workers which depends only on its productivity. A general…
We propose a term structure power price model that, in contrast to widely accepted no-arbitrage based approaches, accounts for the non-storable nature of power. It belongs to a class of equilibrium game theoretic models with players divided…
In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer…
A mechanism is proposed for the appearance of power law distributions in various complex systems. It is shown that in a conservative mechanical system composed of subsystems with different numbers of degrees of freedom a robust power-law…
We derive an extremal fractional Gaussian by employing the L\'evy-Khintchine theorem and L\'evian noise. With the fractional Gaussian we then generalize the Black-Scholes-Merton option-pricing formula. We obtain an easily applicable and…
This paper is devoted to the pricing of Barrier options by optimal quadratic quantization method. From a known useful representation of the premium of barrier options one deduces an algorithm similar to one used to estimate nonlinear filter…
We study the distribution of primes from a topological viewpoint. Certain conjecture is introduced, and we show that it is equivalent to the Riemann Hypothesis.
We propose a two-layer stochastic game model to study reinsurance contracting and competition in a market with one insurer and two competing reinsurers. The insurer negotiates with both reinsurers simultaneously for proportional reinsurance…