We consider a single-echelon continuous review inventory system for spare parts with two parallel locations. Each location faces independent Poisson demand and backorders are allowed. In this paper we consider the possibility of lateral transshipments between the locations. The transshipment...

We study backward stochastic differential equations (BSDEs) for time-changed Lévy noises when the time-change is independent of the Lévy process. We prove existence and uniqueness of the solution and we obtain an explicit formula for linear BSDEs and a comparison principle. BSDEs naturally...

The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance. This paper examines the calibration of a real...