Related papers: Premium Calculation Based on Physical Principles
We revisit surplus on general life insurance contracts, represented by Markov models. We classify technical bases in terms of boundary conditions in Thiele's equation(s), allowing more general regulations than Scandinavian-style…
Foundations of equilibrium thermodynamics are the equation of state (EoS) and four postulated laws of thermodynamics. We use equilibrium thermodynamics paradigms in constructing the EoS for microeconomics system that is a market. This…
We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts originated from the momentum in physics. By using the physical…
We propose a new model for electricity pricing based on the price cap principle. The particularity of the model is that the asset price is an exponential functional of a jump L\'evy process. This model can capture both mean reversion and…
The questions of justification of the Gibbs canonical distribution for systems with elastic impacts are discussed. A special attention is paid to the description of probability measures with densities depending on the system energy.
We study the statistical mechanics of classical and quantum systems in non-equilibrium steady states. Emphasis is placed on systems in strong thermal gradients. Various measures and functional forms of observables are presented. The quantum…
A theoretical self-sustainable economic model is established based on the fundamental factors of production, consumption, reservation and reinvestment, where currency is set as a unconditional credit symbol serving as transaction equivalent…
We propose a criterion of equidistribution by the differentiability of certain arithmetic invariants. Combined with the slope method and the asymptotic measures, this criterion gives a new "conceptual" proof to equidistribution results…
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches…
In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded…
The risk premium of a policy is the sum of the pure premium and the risk loading. In the classification ratemaking process, generalized linear models are usually used to calculate pure premiums, and various premium principles are applied to…
The existence of a (partial) market equilibrium price is proved in a complete, continuous time finite-agent market setting. The economic agents act as price takers in a fully competitive setting and maximize exponential utility from…
The problem of arriving at a principled method of pricing goods and services was very satisfactorily solved for conventional goods; however, this solution is not applicable to digital goods. This paper studies pricing of a special class of…
A parameter method is introduced in order to estimate the relationship among the various variables of a system in equilibrium, where the potential energy functions are incompletely known or the quantum mechanical calculations very…
In social contexts where individuals consume varying amounts, such as shared meals or bar gatherings, splitting the total bill equally often yields surprisingly fair outcomes. In this work, we develop a statistical physics framework to…
The past twenty years have seen a resurgence of interest in nonequilibrium thermodynamics, thanks to advances in the theory of stochastic processes and in their thermodynamic interpretation. Fluctuation theorems provide fundamental…
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting. The buyer evaluates the contingent claim under the ``distorted Radon-Nikodym derivative'' and…
Statistical mechanics is based on interplay between energy minimization and entropy maximization. Here we formalize this interplay via axioms of cooperative game theory (Nash bargaining) and apply it out of equilibrium. These axioms capture…
In recent work, we used pseudo-differential theory to establish conditions that the initial-boundary value problem for second order systems of wave equations be strongly well-posed in a generalized sense. The applications included the…