We study a dynamic model of a non-life insurance portfolio. The foundation of the model is a compound Poisson process that represents the claims side of the insurer. To introduce clusters of claims appearing, e.g. with catastrophic events, this process is time-changed by a Lévy subordinator....

In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg model, the stochastic factor represents the excess return...

This paper develops an axiomatic framework for decision making when preferences depend not only on the current alternative but also on the past frequency with which alternatives have been chosen. We identify key independence axioms that characterize frequency-dependent preferences. In addition,...

We study the ambiguity-adjusted return distribution induced by an investor with smooth ambiguity preferences 'a la Klibano! et al. (2005), who faces uncertainty about the variance of asset returns. The variance uncertainty is modeled using a gamma distribution, a second-order prior over the...

We analyze Texas Shootout clauses within an independent private values framework and characterize shareholders' preferences over proposer and chooser roles. While the mechanism can generate efficiency gains relative to the status quo, asymmetries in role payoffs may deter shareholders from...

We investigate and axiomatize preferences that display indifference between deterministic states, but exhibit strict orderings over lotteries over these states. Such preferences might be due to the ability to adopt to states, or a (dis)taste for uncertainty. We derive a representation theorem...

We continue the analysis of Cephoids. A Cephoid is a Minkowski sum of finitely many standardized simplices ("deGua simplices''). Pareto faces of a Cephoid are maximal polyhedra facing "outward''. A Pareto face consists of an algebraic sum of subsimplices of the deGua Simplices involved, the...

We continue the discussion of the taxation game following our presentation in [12]. Our concept describes a cooperative game played between a set of jurisdictions (" countries"). These players admit the operation of a multinational enterprise (MNE, the "firm") within their jurisdiction. The...

We propose and axiomatize a new model of incomplete preferences under uncertainty, which we call hope-and-prepare preferences. An act is considered more desirable than another when, and only when, both an optimistic evaluation, computed as the welfare level attained in a best-case scenario, and...

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without...