Gollier (2008) has proposed a model for the analysis of pension schemes that is helpful to focus attention on the impact of intergenerational risk sharing and on the role of the participation constraint. He uses the model to analyze the relative attractiveness of a collective scheme with respect...

We study a class of discounted autonomous infinite horizon optimal control problems where the state dynamics may undergo discontinuous changes when the state crosses from one region of the state space to another. Assuming the state and control space are one-dimensional, we provide structural...

The bankruptcy problem is to divide a homogeneous divisible good (the “estate”) between claimants, when the sum of the claims exceeds the value of the estate. When the problem is looked at from an ex-ante point of view (i.e. before the size of the estate is revealed), it is possible to...

We investigate a new method for pricing high-dimensional American options. The method is of finite difference type but is also related to Monte Carlo techniques in that it involves a representative sampling of the underlying variables. An approximating Markov chain is built using this sampling,...

We propose and test a new method for pricing American options in a high-dimensional setting. The method is centred around the approximation of the associated variational inequality on an irregular grid. We approximate the partial differential operator on this grid by appealing to the SDE...

In this paper we propose a general framework for quantification of model risk. This framework allows us to allocate regulatory capital to positions in a given market depending on the extent to which this market can be reliably modeled. Our approach is based on computing worst-case risk measures...

Endowment funds and similar institutions aim to generate a benefit stream of unlimited duration on the basis of an initially donated capital. Towards this purpose, responsible trustees need to design a spending policy as well as an investment policy. A combined spending and investment policy is...

We propose a method for pricing high-dimensional American options on an irregular grid; the method involves using quadratic functions to approximate the local effect of the Black-Scholes operator. Once such an approximation is known, one can solve the pricing problem by time stepping in an...