相关论文: Premium Calculation Based on Physical Principles
I tentatively suggest that the superposition principle of quantum mechanics is explicable in a mathematically natural way if it is possible to understand probability amplitudes as complex-valued logarithms. This notion is inspired by the…
We show that the principle of entropy increase may be exactly founded on a few axioms valid not only for quantum and classical statistics, but also for a wide range of statistical processes.
Employing a generalized definition of Pratt (1964) and Arrow's (1965, 1971) probability premium, we introduce a new concept of attitude towards probability. We illustrate in a problem of risk sharing that whether attitude towards…
For a wide range of entropy measures, easy calculation of equilibria is possible using a principle of Game Theoretical Equilibrium related to Jaynes Maximum Entropy Principle. This follows previous work of the author and relates to works of…
Since economic mechanisms are often applied to very different instances of the same problem, it is desirable to identify mechanisms that work well in a wide range of circumstances. We pursue this goal for a position auction setting and…
We review Markov models of surplus in life insurance based on a counting process following Norberg (1991), uniting probabilistic theory with elements of practice largely drawn from UK experience. First, we organize models systematically…
In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to extend…
In this paper, we study an insurer's reinsurance-investment problem under a mean-variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy under a spectrally negative L\'{e}vy insurance model when the…
Price discrimination for maximizing expected profit is a well-studied concept in economics and there are various methods that achieve the maximum given the user type distribution and the budget constraints. In many applications,…
This paper proposes a theory of pricing premised upon the assumptions that customers dislike unfair prices---those marked up steeply over cost---and that firms take these concerns into account when setting prices. Since they do not observe…
We present an analytical study of an insurance company. We model the company's performance on a statistical basis and evaluate the predicted annual income of the company in terms of insurance parameters namely the premium, total number of…
The probability distribution function for thermodynamics and econophysics is obtained by solving an equilibrium equation. This approach is different from the common one of optimizing the entropy of the system or obtaining the state of…
A pedagogical derivation of statistical mechanics from quantum mechanics is provided, by means of open quantum systems. Besides, a new definition of Boltzmann entropy for a quantum closed system is also given to count microstates in a way…
Community rating is a policy that mandates uniform premium regardless of the risk factors. In this paper, our focus narrows to the single contract interpretation wherein we establish a theoretical framework for community rating using…
Computing the probability of a formula given the probabilities or weights associated with other formulas is a natural extension of logical inference to the probabilistic setting. Surprisingly, this problem has received little attention in…
Based on quantum statistical mechanics and microscopic quantum dynamics, we prove Planck's and Kelvin's principles for macroscopic systems in a general and realistic setting. We consider a hybrid quantum system that consists of the…
Using a theorem of partial differential equations, we present a general way of deriving the conserved quantities associated with a given classical point mechanical system, denoted by its Hamiltonian. Some simple examples are given to…
This thesis develops equilibrium asset pricing models in incomplete markets with a large number of heterogeneous agents using mean field game theory. The market equilibrium is characterized by a novel form of mean field backward stochastic…
Understanding the core content of quantum mechanics requires us to disentangle the hidden logical relationships between the postulates of this theory. Here we show that the mathematical structure of quantum measurements, the formula for…
Quantum uncertainty is the cornerstone of quantum mechanics which underlies many counterintuitive nonclassical phenomena. Recent studies remarkably showed that it also fundamentally limits nonclassical correlation, and crucially, a…