相关论文: Premium Calculation Based on Physical Principles

We study the power and limitations of posted prices in multi-unit markets, where agents arrive sequentially in an arbitrary order. We prove upper and lower bounds on the largest fraction of the optimal social welfare that can be guaranteed…

Classical algorithms for market equilibrium computation such as proportional response dynamics face scalability issues with Internet-based applications such as auctions, recommender systems, and fair division, despite having an almost…

Equilibrium computation in markets usually considers settings where player valuation functions are known. We consider the setting where player valuations are unknown; using a PAC learning-theoretic framework, we analyze some classes of…

Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must…

In this paper we introduce a new concept for modelling electricity prices through the introduction of an unobservable intrinsic electricity price $p(\tau)$. We use it to connect the classical theory of storage with the concept of a risk…

Boltzmann's Principle S = k ln W was repeatedly criticized by Einstein since it lacked a proper dynamical foundation in view of the thermal motion of the particles, out of which a physical system consists. This suggests, in particular, that…

This chapter provides a tutorial overview of first principles methods to describe the properties of matter at the ground state or equilibrium. It begins with a brief introduction to quantum and statistical mechanics for predicting the…

Extremal principles can generally be divided into two rather distinct classes. There are, on the one hand side, formulations based on the Lagrangian or Hamiltonian mechanics, respectively, dealing with time dependent problems, but…

In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the…

The reasons which restrict opportunities of classical mechanics at the description of nonequilibrium systems are discussed. The way of overcoming of the key restrictions is offered. This way is based on an opportunity of representation of…

We apply the maximum entropy principle to economic systems in equilibrium and find the density function for the market's wealth. This is the same as price density which is used for insurance pricing. The risk aversion parameter of the agent…

We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced to the market and priced in an equilibrium framework by…

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor. We assume that the insurer's surplus is governed…

We build on theoretical results from the mechanism design literature to analyze empirical models of second-degree price discrimination (2PD). We show that for a random-coefficients discrete choice ("BLP") model to be suitable for studying…

This working paper is divided into two parts. Firstly, we develop a new combined equilibrium model of business land-use, which puts travelers' traffic equilibrium and business companies' competitive location equilibrium into a unified…

Some general considerations on the notion of entropy in physics are presented. An attempt is made to clarify the question of the differentiation between physical entropy (the Clausius-Boltzmann one) and quantities called entropies…

We consider the computational complexity of computing Bayes-Nash equilibria in first-price auctions, where the bidders' values for the item are drawn from a general (possibly correlated) joint distribution. We show that when the values and…

We re-visit the classical problem of optimal payment of dividends and determine the degree to which the diffusion approximation serves as a valid approximation of the classical risk model for this problem. Our results parallel some of those…

A formulation of quantum mechanics, which begins by postulating assertions for individual physical systems, is given. The statistical predictions of quantum mechanics for infinite ensembles are then derived from its assertions for…

Quantum mechanics and classical statistical mechanics are two physical theories that share several analogies in their mathematical apparatus and physical foundations. In particular, classical statistical mechanics is hallmarked by the…