On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models

2024-9-6

Stochastic assessment of special-rate life annuities

2024-9-4

Newsvendor problem with discrete demand and constrained first moment under ambiguity

2024-8-30

Erio Castagnoli: scientist, teacher, mentor and friend

2024-8-9

Two sided ergodic singular control and mean-field game for diffusions

2024-8-9

On Specimen Theoriae Novae de Mensura Sortis of Daniel Bernoulli

2024-8-7

Preferences over risk changes in variance

2024-8-7

Backward hedging for American options with transaction costs

2024-8-6

Amortization dismantling to remove any doubt of anatocism

2024-8-3

The limitations of comonotonic additive risk measures: a literature review

2024-8-3

Two-stage super-efficiency model for measuring efficiency of education in South-East Asia

2024-7-21

An adaptive evolutionary strategy for long–short portfolio construction

2024-7-15

The life care annuity: enhancing product features and refining pricing methods

2024-7-10

Some Skorohod-type results

2024-7-1

Optimal portfolios with anticipating information on the stochastic interest rate

2024-6-28

Representation of stochastic optimal control problems with delay in the control variable

2024-6-25

From Samuelson’s multiplier-accelerator to bifurcations and chaos in economic dynamics

2024-6-24

Transboundary pollution control under evolving social norms: a mean-field approach

2024-6-15

An undertaking specific approach to address diversifiable demographic risk within Solvency II framework

2024-6-15

Altruistic behavior and international environmental agreements: a differential game approach

2024-6-12

Empirical risk analysis of mining a Proof-of-Work blockchain

2024-6-10

Exponential expansions for approximation of probability distributions

2024-6-10

Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems

2024-6-7

Solvency analysis of deferred annuities

2024-6-5

Mortality models ensemble via Shapley value

2024-5-31

Optimality conditions for differentiable linearly constrained pseudoconvex programs

2024-5-28

Optimal strategies for the decumulation of retirement savings under differing appetites for liquidity and investment risks

2024-5-25

Ellsberg 1961: text, context, influence

2024-5-20

Irr and equivalence of cash-flow streams, loans, and portfolios of bonds

2024-5-10

Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk

2024-5-10

The role of taxation in an integrated economic-environmental model: a dynamical analysis

2024-5-4

Monotonic transformation and recovering the implied stock price process

2024-4-24

American options with acceleration clauses

2024-4-22

Equilibrium asset pricing with short rate risk

2024-4-21

A mean field game model for optimal trading in the intraday electricity market

2024-4-16

Risk assessment for synthetic GICs: a quantitative framework for asset–liability management

2024-4-11

Simon’s bounded rationality

2024-4-10

Rank-two programs involving linear fractional functions

2024-4-9

Modeling and forecasting mortality with economic, environmental and lifestyle variables

2024-3-28

Risk sharing rule and safety loading in a peer to peer cooperative insurance model

2024-3-27

Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed

2024-3-26

Multivariate risk attitude: a comparison of alternative approaches in sustainability policies

2024-3-21

Optimal liquidation with high risk aversion and small linear price impact

2024-3-13

Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space

2024-3-12

The power of derivatives in portfolio optimization under affine GARCH models

2024-3-1

Disposition effect and its outcome on endogenous price fluctuations

2024-1-28

On entropy martingale optimal transport theory

2024-1-26

The interaction between variable annuity providers and their customers under a dynamic approach

2024-1-22

Modeling financial leasing by optimal stopping approach

2024-1-22

The impact of a winner takes all tournament on managers’ strategies and asset mispricing

2024-1-22