The objective of this paper is to identify variational preferences and multiple-prior (maxmin) expected utility functions that exhibit aversion to risk under some probability measure from among the priors. Risk aversion has profound implications on agents’ choices and on market prices and...

It is an original paper, which shows how the hierarchical model with two levels, can be used to determine the linear non-homogeneous credibility premiums at the sector level and at the contract level. The fact that it is based on complicated mathematics, involving conditional expectations,...

The deterministic extended-path (EP) method for solving dynamic stochastic optimisation problems approximates conditional expectations instead of approximating a model's complex non-linear dynamics. For a benchmark real business cycle model we show that this straightforward approach provides...

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions.  We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...

One of the most managerially useful constructs that emerge from the stochastic modelling of brand choice is that of conditional expectations. In this paper the conditional expectations are derived for a generalization of the NBD model, called the beta binomial/negative binomial distribution...

We explore different possible definitions for conditional Choquet integrals and their implications for updating capacities. Many recent works consider relaxing dynamic consistency within Choquet Expected Utility models, but all of them deal with models where time is not explicitly introduced. We...

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...

Obtaining the distribution of the profit and loss (PL) of a portfolio is a key problem in market risk measurement. However, existing methods, such as those based on the Normal distribution, and historical simulation methods, which use empirical distribution of risk factors, face difficulties in...

Almost no economic time series is either weakly or strictly stationary: distributions of economic variables shift over time.  Thus, the present treatment of expectations in economic theories of inter-temporal optimization is inappropriate.  It cannot be proved that conditional expectations...