{"title":"Markov Decision Processes with Exogenous Variables","authors":"R. Bray","doi":"10.2139/ssrn.2919946","DOIUrl":"https://doi.org/10.2139/ssrn.2919946","url":null,"abstract":"I present two algorithms for solving dynamic programs with exogenous variables: endogenous value iteration and endogenous policy iteration. These algorithms are always at least as fast as relative ...","PeriodicalId":177288,"journal":{"name":"OPER: Computational (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132508312","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Filtered Likelihood for Point Processes","authors":"K. Giesecke, G. Schwenkler","doi":"10.2139/ssrn.1898344","DOIUrl":"https://doi.org/10.2139/ssrn.1898344","url":null,"abstract":"Point processes are widely used in finance and economics to model the timing of defaults, market transactions, unemployment spells, births, and a range of other events. We develop and analyze likelihood estimators for the parameters of a marked point process and incompletely observed explanatory factors that influence the arrival intensity and mark distribution. We establish an approximation to the likelihood and analyze the convergence and large-sample properties of the associated estimators. Numerical results illustrate the behavior of our estimators.","PeriodicalId":177288,"journal":{"name":"OPER: Computational (Topic)","volume":"77 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122932997","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Note on the Impact of Management Fees on the Pricing of Variable Annuity Guarantees","authors":"Jin Sun, P. Shevchenko, Simon Man Chung Fung","doi":"10.2139/ssrn.2967045","DOIUrl":"https://doi.org/10.2139/ssrn.2967045","url":null,"abstract":"Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder’s retirement fund with optional guarantees to limit the downside risk of the market. Management fees andguarantee insurance fees are charged respectively for the market exposure and for the protection from the downside risk. We investigate the pricing of variable annuity guarantees under optimal withdrawal strategies when management fees are present. We consider from both policyholder’s and insurer’s perspectives optimal withdrawal strategies and calculate the respective fair insurance fees. We reveal a discrepancy where the fees from the insurer’s perspective can be significantly higher due to the management fees serving as a form of market friction. Our results provide a possible explanation of lower guarantee insurance fees observed in the market than those predicted from the insurer’s perspective. Numerical experiments are conducted to illustrate the results.","PeriodicalId":177288,"journal":{"name":"OPER: Computational (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128904561","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Analysis of a Dynamic Adverse Selection Model with Asymptotic Efficiency","authors":"H. Zhang","doi":"10.1287/moor.1120.0541","DOIUrl":"https://doi.org/10.1287/moor.1120.0541","url":null,"abstract":"This paper studies an infinite horizon adverse selection model with an underlying two-state Markov decision process. It introduces a novel approach that constructs the continuation payoff frontier exactly, as the fixed point of a functional operator. If the model supports an incentive-compatible first-best (ICFB) contract, the continuation payoff frontier can be efficiently constructed, and the principal's optimal contracts converge to ICFB contracts over time. The existence of an ICFB contract is implied by the common assumption of private values and is a fairly general scenario. The paper generalizes some key findings in the dynamic adverse selection literature to this scenario.","PeriodicalId":177288,"journal":{"name":"OPER: Computational (Topic)","volume":"34 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132672447","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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