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Optimal Stopping of a Risk Process when Claims are Covered immediately
Muciek, Bogdan K.; Szajowski, Krzysztof J. - Volkswirtschaftliche Fakultät, … - 2006
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and which have been recognized by them. The capital of the...
Persistent link: https://www.econbiz.de/10008493598
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Optimal stopping in Levy models, for non-monotone discontinuous payoffs
Boyarchenko, Svetlana; Levendorskii, Sergei - Volkswirtschaftliche Fakultät, … - 2010
We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be non-monotone. As applications, we consider exit and entry problems in the theory of real options, and an entry problem with an embedded option to exit.
Persistent link: https://www.econbiz.de/10008788791
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Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
Piasecki, Krzysztof - Volkswirtschaftliche Fakultät, … - 2011
The book is divided into five parts. The essence of behavioural finance is presented in the first parts. Fuzzy generalizations of some mathematical concepts are presented in the second part. The impact of selected behavioural premises for imprecise estimation of expected return is described in...
Persistent link: https://www.econbiz.de/10011260964
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Estimating intertemporal and intratemporal substitutions when both income and substitution effects are present: the role of durable goods
pakos, michal - Volkswirtschaftliche Fakultät, … - 2011
Homotheticity induces a dramatic statistical bias in the estimates of the intratemporal and intertemporal substitutions. I find potent support in favor of nonhomotheticity in aggregate consumption data, with nondurable goods being necessities and durable goods luxuries. I obtain the...
Persistent link: https://www.econbiz.de/10009220097
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The experience curve and the market size of competitive consumer durable markets
Kaldasch, Joachim - Volkswirtschaftliche Fakultät, … - 2011
An evolutionary model of the product life cycle is applied to derive the experience curve and the market size of (expensive) durable goods. The experience (learning) curve suggests that the real costs per unit decrease with an increasing cumulative output (Henderson's law). Based on the idea...
Persistent link: https://www.econbiz.de/10009294665
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Risk, ambiguity and sovereign rating
Di Caro, Paolo - Volkswirtschaftliche Fakultät, … - 2014
Decisions of investing in sovereign assets involve both risk and ambiguity. Ambiguity arises from unknown elements … characterizing the value of a generic sovereign. In presence of ambiguity, ambiguity-averse investors are prone to pay for obtaining … summary information such as ratings which reduces ambiguity. Ambiguity-neutral and ambiguity-averse investors, then, make …
Persistent link: https://www.econbiz.de/10011107677
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A Note on Kuhn’s Theorem with Ambiguity Averse Players
Aryal, Gaurab; Stauber, Ronald - Volkswirtschaftliche Fakultät, … - 2014
Kuhn’s Theorem in an environment with ambiguity averse players who use a maxmin decision rule and full Bayesian updating. …
Persistent link: https://www.econbiz.de/10011110982
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On Robust Asymmetric Equilibria in Asymmetric R&D-Driven Growth Economies
Giordani, Paolo E.; Zamparelli, Luca - Volkswirtschaftliche Fakultät, … - 2009
per-industry profitability of their R&D investments. Investors' aversion towards ambiguity (in the sense of Gilboa …-equalizing equilibrium is robust against a however small degree of investors' aversion to ambiguity. …
Persistent link: https://www.econbiz.de/10005027122
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Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management
Vardas, Giannis; XEPAPADEAS, Anastasios - Volkswirtschaftliche Fakultät, … - 2008
We analyze ecosystem management under `unmeasurable' Knightian uncertainty or ambiguity which, given the uncertainties …
Persistent link: https://www.econbiz.de/10005790301
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Ellsberg Paradox and Second-order Preference Theories on Ambiguity: Some New Experimental Evidence
Yang, Chun-Lei; Yao, Lan - Volkswirtschaftliche Fakultät, … - 2011
We study the two-color problem by Ellsberg (1961) with the modification that the decision maker draws twice with replacement and a different color wins in each draw. The 50-50 risky urn turns out to have the highest risk conceivable among all prospects including the ambiguous one, while all...
Persistent link: https://www.econbiz.de/10008833271