We discuss an optimal portfolio selection problem of an insurer who faces model uncertainty in a jump-diffusion risk model using a game theoretic approach. In particular, the optimal portfolio selection problem is formulated as a two-person, zero-sum, stochastic differential game between the...

The purpose of this paper is to reveal the relation between commutability of life annuities and retirees’ willingness to annuitize. To this end, we assume the existence of commutable life annuities, whose surrender charge is a proportion of their actuarial value. We model a retiree as a...

Nonindustrial private forests (NIPF) of the southern U.S., containing large quantities of small diameter trees are often viewed as the potential sources of woody biomass for future bioenergy production. Use of logging residues and non-marketable small diameter trees available in these forests,...

Subsidized development of an in-state biofuels industry has received some political support in the state of Washington, USA. Utilizing in-state feedstock supplies could be an efficient way to stimulate biofuel industries and the local economy. In this paper we estimate supply under output price...

We show that an agent maximizing some utility function on a discrete (as opposed to continuous) consumption space will obey the generalized axiom of revealed preference (GARP) so long as the agent obeys cost efficiency. Cost efficiency will hold if there is some good, outside the set of goods...