Decisions in Economics and Finance最新文献

On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models 论动态传染索赔模型中的均值-方差最优再保险-投资策略

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-09-06 DOI: 10.1007/s10203-024-00475-9

Marina Santacroce, Barbara Trivellato

引用次数: 0

Stochastic assessment of special-rate life annuities 特殊费率人寿年金的随机评估

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-09-04 DOI: 10.1007/s10203-024-00476-8

Annamaria Olivieri, Daniela Tabakova

{"title":"Stochastic assessment of special-rate life annuities","authors":"Annamaria Olivieri, Daniela Tabakova","doi":"10.1007/s10203-024-00476-8","DOIUrl":"https://doi.org/10.1007/s10203-024-00476-8","url":null,"abstract":"Special-rate life annuities offer customized annuity rates, based on the lifestyle or health status of the individual. Their main purpose is to encourage the annuity demand, which is still underdeveloped in many markets; as better annuity rates are quoted for individuals showing a higher mortality profile, the number of individuals attracted by life annuities could increase. Providers should then gain larger pool sizes; however, this is possibly matched by a greater heterogeneity of the pool, due to several risk classes defined by the annuity design. Heterogeneity emerges not only in terms of different life expectancies, but also in respect of the dispersion of the lifetime distribution; indeed, situations resulting in a lower life expectancy also show greater variability of the lifetime. As it is well-known, pooling effects are reinforced by the pool size, while they are weakened by its heterogeneity, with a possibly unclear impact on the overall longevity risk to which the provider is exposed. In this paper we investigate the longevity risk profile of an annuity pool consisting of several risk classes. We consider both the idiosyncratic and aggregate components of the risk, by modelling the random number of deaths and assuming a stochastic mortality dynamics. The heterogeneity of risk classes is represented alternatively in a deterministic and stochastic setting. Our conclusions are in line with similar findings discussed in the literature, but obtained in a deterministic framework. Results suggest that the longevity risk profile of the provider is not significantly undermined by a greater pool heterogeneity, with a prevalence of the aggregate component whatever the pool composition.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"89 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142182821","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}

引用次数: 0

Newsvendor problem with discrete demand and constrained first moment under ambiguity 模糊条件下具有离散需求和受限第一矩的新闻供应商问题

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-08-30 DOI: 10.1007/s10203-024-00477-7

Andrea Cinfrignini, Davide Petturiti, Gabriele Stabile

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Two sided ergodic singular control and mean-field game for diffusions 扩散的双面遍历奇异控制和均场博弈

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-08-09 DOI: 10.1007/s10203-024-00464-y

Sören Christensen, Ernesto Mordecki, Facundo Oliú

{"title":"Two sided ergodic singular control and mean-field game for diffusions","authors":"Sören Christensen, Ernesto Mordecki, Facundo Oliú","doi":"10.1007/s10203-024-00464-y","DOIUrl":"https://doi.org/10.1007/s10203-024-00464-y","url":null,"abstract":"In a probabilistic mean-field game driven by a linear diffusion an individual player aims to minimize an ergodic long-run cost by controlling the diffusion through a pair of –increasing and decreasing– càdlàg processes, while he is interacting with an aggregate of players through the expectation of a similar diffusion controlled by another pair of càdlàg processes. In order to find equilibrium points in this game, we first consider the control problem, in which the individual player has no interaction with the aggregate of players. In this case, we prove that the best policy is to reflect the diffusion process within two thresholds. Based on these results, we obtain criteria for the existence of equilibrium points in the mean-field game in the case when the controls of the aggregate of players are of reflection type, and give a pair of nonlinear equations to find these equilibrium points. In addition, we present an approximation result for nash equilibria of erdogic games with finitely many players to the mean-field game equilibria considered above when the number of players tends to infinity. These results are illustrated by several examples where the existence and uniqueness of the equilibrium points depend on the coefficients of the underlying diffusion.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"59 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141941609","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}

引用次数: 0

Preferences over risk changes in variance 对差异变化风险的偏好

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-08-07 DOI: 10.1007/s10203-024-00474-w

Marzia De Donno, Mario Menegatti

引用次数: 0

On Specimen Theoriae Novae de Mensura Sortis of Daniel Bernoulli 论丹尼尔-伯努利的新孟说样本

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-08-07 DOI: 10.1007/s10203-024-00471-z

Paola Modesti

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Backward hedging for American options with transaction costs 有交易成本的美式期权后向套期保值

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-08-06 DOI: 10.1007/s10203-024-00472-y

Ludovic Goudenège, Andrea Molent, Antonino Zanette

{"title":"Backward hedging for American options with transaction costs","authors":"Ludovic Goudenège, Andrea Molent, Antonino Zanette","doi":"10.1007/s10203-024-00472-y","DOIUrl":"https://doi.org/10.1007/s10203-024-00472-y","url":null,"abstract":"In this article, we introduce an algorithm called Backward Hedging, designed for hedging European and American options while considering transaction costs. The optimal strategy is determined by minimizing an appropriate loss function, which is based on either a risk measure or the mean squared error of the hedging strategy at maturity. Specifically, the algorithm moves backward in time, determining, for each time-step and different market states, the optimal hedging strategy that minimizes the loss function at the time the option is exercised, by assuming that the strategy used in the future for hedging the liability is the one determined at the previous steps of the algorithm. The proposed approach only employs classic techniques, such as an optimization algorithm, Monte Carlo simulation, and interpolation on a grid. Above all, our choice of a backward iterating approach addresses the issue of time-inconsistency inherent in many traditional risk measures, compelling the optimal strategy to maintain consistency over time, even though the original problem might not inherently support such consistency. Comparisons with the Deep Hedging algorithm in various numerical experiments showcase the efficiency and accuracy of the proposed method.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"5 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141941635","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}

引用次数: 0

Amortization dismantling to remove any doubt of anatocism 摊销拆除，消除任何对解剖学的怀疑

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-08-03 DOI: 10.1007/s10203-024-00470-0

Viviana Fanelli, Silvana Musti

引用次数: 0

The limitations of comonotonic additive risk measures: a literature review 单调相加风险度量的局限性：文献综述

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-08-03 DOI: 10.1007/s10203-024-00469-7

Samuel S. Santos, Marcelo Brutti Righi, Eduardo Horta

引用次数: 0

Two-stage super-efficiency model for measuring efficiency of education in South-East Asia 衡量东南亚教育效率的两阶段超效率模型

IF 1.1

Decisions in Economics and Finance Pub Date : 2024-07-21 DOI: 10.1007/s10203-024-00453-1

M. Mujiya Ulkhaq, Giorgia Oggioni, Rossana Riccardi

{"title":"Two-stage super-efficiency model for measuring efficiency of education in South-East Asia","authors":"M. Mujiya Ulkhaq, Giorgia Oggioni, Rossana Riccardi","doi":"10.1007/s10203-024-00453-1","DOIUrl":"https://doi.org/10.1007/s10203-024-00453-1","url":null,"abstract":"This paper aims to measure the efficiency of schools in six South-East Asian countries, taking into account the impacts of information and communication technologies (ICT). The educational institutions of South-East Asia are very dynamic; and to increase their competitiveness at international level, they need to manage their resources in an efficient way. We propose a two-stage super-efficiency model for measuring their efficiency, using 2018 PISA data. In the first stage, the non-parametric data envelopment analysis super-efficiency model is used to rank the schools in this region. Then, a second-stage analysis based on a bootstrapped quantile regression is performed to identify the factors that potentially influence efficiency. We analyze four different scenarios depending on the output considered. In the first stage of the analysis, Singapore has the best performance among the other countries in all scenarios. In the second stage, our results show that ICT is statistically significant as a determinant of efficiency in terms of the ratio of computers connected to the internet. However, the integration of ICT in education is mainly influenced by the socio-economic and educational factors of the analyzed countries. Moreover, concerning the other factors, the lower efficiency schools benefit more from the number of female students than higher efficiency schools. The reverse happens for the proportion of certified teachers.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"7 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2024-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141742411","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}

引用次数: 0