This study addresses market concentration among major corporations, highlighting the utility of relative entropy for understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper bound to the conditional value at risk (CVaR),...

Consider an insurance company whose surplus is modelled by an arithmetic Brownian motion of not necessarily positive drift. Additionally, the insurer has the possibility to invest in a stock modelled by a geometric Brownian motion independent of the surplus. Our key variable is the (absolute)...

This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a certain threshold. This study presents other results that refine or extend this one by integrating timing flexibility...

Dual risk models are popular for modeling a venture capital or high-tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrates on the optimal dividend strategies. In this paper, we...

We analyze the effect of external financing and associated bankruptcy threat on the speed of product innovation in a market characterized by technological and demand uncertainty. In a dynamic market setting we characterize the optimal R&D investment strategy of a monopolistic incumbent firm that...

We study the problem of optimal investment in brown (carbon-intensive) production amid climate change and the impact of rising global temperatures. Our approach is based on a mean-field model of firms that produce goods whose productivity is adversely affected by temperature-related damages,...

We establish the existence and uniqueness of the equilibrium for a stochastic mean-field game of optimal investment. The analysis covers both finite and infinite time horizons, and the mean-field interaction of the representative company with a mass of identical and indistinguishable firms is...

This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits, respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are constructed to accommodate such left-truncated and...

Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors. The default for an individual loan occurs when the assets of a company (or individual) fall...