Inspired by the classical riot model proposed by Granovetter in 1978, we consider a parametric stochastic dynamical system describing the collective behavior of a large population of interacting agents. By controlling a parameter, a policy maker aims at maximizing her own utility which, in turn,...

The aim of this paper is to construct a dynamic programming algorithm for pricing variable annuities with GLWB under a stochastic mortality framework. Although our set-up is very general and only requires the Markovian property for the mortality intensity and the asset price processes, in the...

In Europe, when an imbalance between demand and capacity is detected for air traffic network resources, Air Traffic Flow Management slots are allocated to flights on the basis of a First Planned First Served principle. We propose a market mechanism to allocate such slots in the case of a single...

In this paper, we formalize the simultaneous slot allocation problem. It is an extension of the problem currently tackled for allocating airport slots: it deals with all airports simultaneously and it enforces the respect of airspace sector capacities. By solving this novel problem, the system...

We propose a mechanism for solving the airport slot allocation problem in Europe. We consider the interdependence of the slots at different airports, and we maximize the efficiency of the system. Through an experimental analysis we quantitatively assess the cost imposed by grandfather rights,...

In this paper, we formalize the simultaneous slot allocation problem. It is an extension of the problem currently tackled for allocating airport slots: it deals with all airports simultaneously and it enforces the respect of airspace sector capacities. By solving this novel problem, the system...