In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...

In this paper, we present a new approach to measure the returns of private equity investments based on a stochastic model of the dynamics of a private equity fund. Our stochastic model of a private equity fund consists of two independent stages: the stochastic model of the capital drawdowns and...

This paper studies the importance of dynamic earnings modeling for the design of income contingent student loans (ICLs). ICLs have been shown to be theoretically optimal in terms of efficiency in the presence of risk aversion, adverse selection and moral hazard, and have attractive equity...

We analyze the likelihood of success for heat production strategies in a sandstone reservoir in the north-eastern German basin in a depth of about 2 km by simulating both double and single well configurations. For this test case study we use an exploited oil and gas field. We combine seismic...

An important feature in call center modeling is the presence of impatient customers. In this paper we show, using real data, that we can realistically model the patience distribution by the hyperexponential distribution. Since the hyperexponential distribution is a mixture of exponential...

In this paper, the problem of partial hedging is studied by constructing hedging strategies that minimize conditional value-at-risk (CVaR) of the portfolio. Two dual versions of the problem are considered: minimization of CVaR with the initial wealth bounded from above, and minimization of...

We review the task of aligning simple models for language dynamics with relevant empirical data, motivated by the fact that this is rarely attempted in practice despite an abundance of abstract models. We propose that one way to meet this challenge is through the careful construction of null...