We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of production. Whereas the standard rational equilibrium is still formally a stationary solution of the dynamics, we...

Due to non-linear transaction costs, the fi nancial performance of a trading strategy decreaseswith portfolio size. Using a dynamic trading model a la Garleanu and Pedersen (2013), wederive closed-form formulas for the performance-to-scale frontier reached by competitive tradersendowed with a...

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic prospective tables thus built make it possible to project...

Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice of a random number generator. The aim of this paper is...

The aim of this paper is to propose an operational two-dimensional parametric adjustment for laws of maintenance in disability. The method suggested rests on splines in dimension 2; it is applied to a real data set, and the scale of reserving which results from it is compared with the scale of...

The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods respectively. The low number of people subjected to risk, particularly noticed for the persons who...

The aim of this paper is to propose a realistic and operational model to quantify the systematic risk of mortality included in an engagement of retirement. The model presented is built on the basis of model of Lee-Carter. The stochastic prospective tables thus built make it possible to project...