This paper analyses a game-theoretic model of Hi-Lo Poker. Bilateral-move N-round games are formulated and explicit solutions are derived. In the asymptotic case the form of optimal decision rule is derived and examples are provided. Copyright Springer-Verlag Berlin Heidelberg 1999

We consider the surplus process of a life insurer who is able to buy a securitisation product to hedge mortality in a discrete time framework. Two cohorts are considered: one underlying the securitisation product and one for the portfolio of the insurer. In our main result we show that there...

We develop a novel approach integrating epidemiological and economic models that allows databased simulations during a pandemic. We examine the economically optimal opening strategy that can be reconciled with the containment of a pandemic. The empirical evidence is based on data from Germany...

We develop a novel approach integrating epidemiological and economic models that allows databased simulations during a pandemic. We examine the economically optimal opening strategy that can be reconciled with the containment of a pandemic. The empirical evidence is based on data from Germany...

This paper considers investors who are looking to maximize their probability of remaining solvent throughout their lifetime by using an algorithm that aims to optimize their investment allocation strategy and optimize their tax strategy for withdrawal allocations between tax deferred accounts...

This paper gives a full characterization of matrices with rows and columns having properties closely related to the (quasi-) convexity-concavity of functions. The matrix games described by such payoff matrices well approximate continuous games on the unit square with payoff functions F (x, y)...

In this paper we consider a proper Shapley value (the V L value) for cooperative network games.This value turns out to have a nice interpretation.We compute the V L value for various kinds of networks and relate this value to optimal strategies in an associated matrix game.

In this paper discounted and average Markov decision processes with finite state space and countable action set (semi-infinite MDP for short) are discussed. Without ordinary continuity and compactness conditions, for discounted semi-infinite MDP we have shown that by exploiting the results on...

We consider a simplified model of finance market where two players carry on direct multistage bidding with risky assets (shares). One of the players (the insider) is informed on the liquidation price of a share, the other player knows its probability distribution only. It is shown that the...