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A rank-dependent utility model of uncertain lifetime, time consistency and life insurance

Drouhin, Nicolas - HAL - 2012

even if agent are time consistent, life annuities no more provide perfect insurance against the risk to live. …

Persistent link: https://www.econbiz.de/10010929098

Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges

Barrieu, Pauline; Bensusan, Harry; Karoui, Nicole El; … - HAL - 2012

This article investigates the latest developments in longevity risk modelling, and explores the key risk management … enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity … evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are …

Persistent link: https://www.econbiz.de/10008791882

Non linear filtering and optimal investment under partial information for stochastic volatility models

Ibrahim, Dalia; Abergel, Frédéric - HAL - 2014

This paper studies the question of filtering and maximizing terminal wealth from expected utility in a stochastic volatility models. The special feature is that the only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot...

Persistent link: https://www.econbiz.de/10011026142

Reducing the debt : is it optimal to outsource an investment?

Espinosa, Gilles Edouard; Hillairet, Caroline; … - HAL - 2013

study of what happens in case of incomplete information, in the sense that the risk aversion coefficient of each partner may …

Persistent link: https://www.econbiz.de/10010723292

Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes

Oksendal, Bernt; Sulem, Agnès - HAL - 2011

We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, reflected BSDEs and optimal stopping in the partial information case. As...

Persistent link: https://www.econbiz.de/10009220692

An application to credit risk of a hybrid Monte Carlo-Optimal quantization method

Callegaro, Giorgia; Sagna, Abass - HAL - 2009

In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the firm's value is a non-observable stochastic process...

Persistent link: https://www.econbiz.de/10008793463

Strategic Communication Networks

Hagenbach, Jeanne; Koessler, Frédéric - HAL - 2009

We consider situations in which individuals would like to choose an action which is close to that of others, as well as close to a state of nature, with the ideal proximity to the state varying across agents. Before this coordination game is played, a cheap-talk communication stage is offered to...

Persistent link: https://www.econbiz.de/10010738542

Duality and optimal strategies in the finitely repeated zero-sum games with incomplete information on both sides

Meyer, Bernard De; Marino, Alexandre - HAL - 2005

The recursive formula for the value of the zero-sum repeated games with incomplete information on both sides is known for a long time. As it is explained in the paper, the usual proof of this formula is in a sense non constructive : it just claims that the players are unable to guarantee a...

Persistent link: https://www.econbiz.de/10010750446

Learning by Trading in Infinite Horizon Strategic Market Games with Default

Brangewitz, Sonja; Giraud, Gaël - HAL - 2012

We study the consequences of dropping the perfect competition assumption in a standard infinite horizon model with infinitely-lived traders and real collateralized assets, together with one additional ingredient : information among players is asymmetric and monitoring is incomplete. The key...

Persistent link: https://www.econbiz.de/10010635262

Online Dispute Resolution and Bargaining

Gabuthy, Yannick - HAL - 2003

only due to the costs imposed on parties if a disagreement occurs, that is the combination of players' risk aversion and …

Persistent link: https://www.econbiz.de/10008791155

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