We study indifference pricing of mortality contingent claims in a fully stochastic model. We assume both stochastic interest rates and stochastic hazard rates governing the population mortality. In this setting we compute the indifference price charged by an insurer that uses exponential utility...

We study a dynamic insurance market with asymmetric information and "ex post" moral hazard. In our model, the insurance buyer's risk type is unknown to the insurer; moreover, the buyer has the option of not reporting losses. The insurer sets premia according to the buyer's experience rating,...

We develop a theory for valuing non-diversifiable mortality risk in an incomplete market by assuming that the company issuing a mortality contingent claim requires compensation for this risk in the form of a pre-specified instantaneous Sharpe ratio. We apply our method to value life annuities....

We extend the framework of real options to value the compound timing option owned by a manager of an industrial asset. The operator has control over the production modes, but faces operational constraints which introduce path-dependency. Moreover, the operator is only able to imperfectly hedge...

We study finite horizon optimal switching problems for hidden Markov chain models with point process observations. The controller possesses a finite range of strategies and attempts to track the state of the unobserved state variable using Bayesian updates over the discrete observations. Such a...

We establish various extensions of the comonotone improvement result of Landsberger and Meilijson [Landsberger, M., Meilijson, I., 1994. Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion. Annals of Operations Research 52, 97-106] which are of...

We study the financial engineering aspects of operational flexibility of energy assets. The current practice relies on a representation that uses strips of European spark-spread options, ignoring the operational constraints. Instead, we propose a new approach based on a stochastic impulse...