相关论文: Premium Calculation Based on Physical Principles

A variational principle is further developed for out of equilibrium dynamical systems by using the concept of maximum entropy. With this new formulation it is obtained a set of two first-order differential equations, revealing the same…

Decarbonizing electric grids is a crucial global endeavor in the pursuit of carbon neutrality. Taking carbon emissions from generation into account when pricing electricity usage is an essential way to achieve this goal. However, such…

The maximum entropy principle (MEP) apparently allows us to derive, or justify, fundamental results of equilibrium statistical mechanics. Because of this, a school of thought considers the MEP as a powerful and elegant way to make…

In this manuscript we propose a method for pricing insurance products that cover not only traditional risks, but also unforeseen ones. By considering the Poisson process parameter to be a mixed random variable, we capture the heterogeneity…

We present a unified and simple method for deriving work theorems for classical and quantum Hamiltonian systems, both under equilibrium conditions and in a steady state. Throughout the paper, we adopt the partitioning of the total…

Pontrygin-type maximum principle is extended for the present value Hamiltonian systems and current value Hamiltonian systems of nonlinear difference equations for uniform time step $h$. A new method termed as a discrete time current value…

In this paper we propose a new way of proving the value of a firm that is currently producing a certain product and faces the option to exit the market. The problem of optimal exiting is an optimal stopping problem, that can be solved using…

In approval-based multiwinner voting, voters express approval preferences over a set of candidates, and the goal is to return a winning committee. This model captures a broad range of subset selection problems under preferences. Prior work…

This paper investigates the benefits of incorporating diversification effects into the pricing process of insurance policies from two different business lines. The paper shows that, for the same risk reduction, insurers pricing policies…

This paper focuses on the coordination of a large population of dynamic agents with private information over multiple periods. Each agent maximizes the individual utility, while the coordinator determines the market rule to achieve group…

Equilibrium is a central concept of statistical mechanics. In previous work we introduced the notions of a Boltzmannian alpha-epsilon-equilibrium and a Boltzmannian gamma-varepsilon-equilibrium (Werndl and Frigg 2015a, 2015b). This was done…

The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The novelty of the approach is embedded in the…

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…

Quantum mechanics can emerge from classical statistics. A typical quantum system describes an isolated subsystem of a classical statistical ensemble with infinitely many classical states. The state of this subsystem can be characterized by…

Starting from a plausible assumption about the Total Revenue concept, a system of economic agents, that simulates the exchange of goods, is studied. Following a methodology equivalent to that used in the statistical-mechanical determination…

This paper develops a dynamic insurance market model comprising two competing insurance companies and a continuum of insureds, and examines the interaction between strategic underreporting by the insureds and competitive pricing between the…

We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. We propose to describe behavioral financial factors (e.g., expectations of traders) by using the pilot wave (Bohmian) model of…

We tackle the problem of computing a consensus according to multiple ethical principles -- which can include, for example, the principle of maximum freedom associated with the Benthamite doctrine and the principle of maximum fairness…

This article, in a first step, considers two Bayes estimators for the relativity premium of a given Bonus--Malus system. It then develops a linear relativity premium that closes, in the sense of weighted mean square error loss, to such…

We examine the fundamental aspects of statistical mechanics, dividing the problem into a discussion purely about probability, which we analyse from a Bayesian standpoint. We argue that the existence of a unique maximising probability…