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Decisions in Economics and Finance最新文献

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Correction to: Beating the market? A mathematical puzzle for market efficiency 修正:跑赢大盘?市场效率的数学难题
IF 1.1
Decisions in Economics and Finance Pub Date : 2023-07-06 DOI: 10.1007/s10203-023-00405-1
M. Baumann
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引用次数: 0
Dini and Hadamard directional derivatives in multiobjective optimization: an overview of some results 多目标优化中的Dini和Hadamard方向导数:一些结果的概述
IF 1.1
Decisions in Economics and Finance Pub Date : 2023-06-07 DOI: 10.1007/s10203-023-00403-3
G. Giorgi, B. Jiménez, V. Novo
{"title":"Dini and Hadamard directional derivatives in multiobjective optimization: an overview of some results","authors":"G. Giorgi, B. Jiménez, V. Novo","doi":"10.1007/s10203-023-00403-3","DOIUrl":"https://doi.org/10.1007/s10203-023-00403-3","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"60 5 Pt 2 1","pages":"355 - 377"},"PeriodicalIF":1.1,"publicationDate":"2023-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88628684","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
Optimisation of drawdowns by generalised reinsurance in the classical risk model 经典风险模型中广义再保险的赔付优化
Decisions in Economics and Finance Pub Date : 2023-05-30 DOI: 10.1007/s10203-023-00402-4
Leonie Violetta Brinker, Hanspeter Schmidli
{"title":"Optimisation of drawdowns by generalised reinsurance in the classical risk model","authors":"Leonie Violetta Brinker, Hanspeter Schmidli","doi":"10.1007/s10203-023-00402-4","DOIUrl":"https://doi.org/10.1007/s10203-023-00402-4","url":null,"abstract":"Abstract We consider a Cramér–Lundberg model representing the surplus of an insurance company under a general reinsurance control process. We aim to minimise the expected time during which the surplus is bounded away from its own running maximum by at least $$d&gt;0$$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mrow> <mml:mi>d</mml:mi> <mml:mo>&gt;</mml:mo> <mml:mn>0</mml:mn> </mml:mrow> </mml:math> (discounted at a preference rate $$delta &gt;0$$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mrow> <mml:mi>δ</mml:mi> <mml:mo>&gt;</mml:mo> <mml:mn>0</mml:mn> </mml:mrow> </mml:math> ) by choosing a reinsurance strategy. By analysing the drawdown process (i.e. the absolute distance of the controlled surplus model to its maximum) directly, we prove that the value function fulfils the corresponding Hamilton–Jacobi–Bellman equation and show how one can calculate the value function and the optimal strategy. If the initial drawdown is critically large, the problem corresponds to the maximisation of the Laplace transform of a passage time. We show that a constant retention level is optimal. If the drawdown is smaller than d , the problem can be expressed as an element of a set of Gerber–Shiu optimisation problems. We show how these problems can be solved and that the optimal strategy is of feedback form. We illustrate the theory by examples of the cases of light and heavy tailed claims.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135690894","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
Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions 随机积分的拉普拉斯变换与百慕大交换的定价
IF 1.1
Decisions in Economics and Finance Pub Date : 2023-05-25 DOI: 10.1007/s10203-023-00401-5
Lars Palapies
{"title":"Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions","authors":"Lars Palapies","doi":"10.1007/s10203-023-00401-5","DOIUrl":"https://doi.org/10.1007/s10203-023-00401-5","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"19 1","pages":"1 - 46"},"PeriodicalIF":1.1,"publicationDate":"2023-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85882657","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
On the unfairness of actuarial fair annuities 论精算公平年金的不公平性
Decisions in Economics and Finance Pub Date : 2023-05-24 DOI: 10.1007/s10203-023-00399-w
An Chen, Steven Vanduffel
{"title":"On the unfairness of actuarial fair annuities","authors":"An Chen, Steven Vanduffel","doi":"10.1007/s10203-023-00399-w","DOIUrl":"https://doi.org/10.1007/s10203-023-00399-w","url":null,"abstract":"Abstract Actuarial fairness pertains to the situation in which the price of an insurance contract is equal to its expected outcome. We show that actuarial fairness leads to “unfairness” in that annuitants with higher survival rates can choose a better payoff in the sense of second-order stochastic dominance than those with lower survival rates. To deal with this issue, we propose equal utility pricing, i.e., we determine prices such that all contracts have the same (nonlinear) utility from the viewpoint of a third party (e.g., a social planner). This approach is of particular relevance with respect to the design of group self-annuitization schemes.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135085551","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
On statistical indistinguishability of complete and incomplete discrete time market models 完全和不完全离散时间市场模型的统计不可区分性
Decisions in Economics and Finance Pub Date : 2023-05-12 DOI: 10.1007/s10203-023-00397-y
Nikolai Dokuchaev
{"title":"On statistical indistinguishability of complete and incomplete discrete time market models","authors":"Nikolai Dokuchaev","doi":"10.1007/s10203-023-00397-y","DOIUrl":"https://doi.org/10.1007/s10203-023-00397-y","url":null,"abstract":"The paper studies asset pricing for stochastic discrete time stock market models. The possibility of statistical evaluation of the market completeness is investigated. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper investigates if market incompleteness is robust. It is found that market incompleteness is a non-robust property as well. This is demonstrated for a basic single stock stochastic market model. This implies that, for any incomplete market from a wide class of discrete time models, there exists a complete market model with arbitrarily close stock prices. This means that incomplete markets are indistinguishable from the complete markets in the terms of market statistics.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135288148","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: 1
Hedging and the regret theory of the firm 套期保值和公司后悔理论
IF 1.1
Decisions in Economics and Finance Pub Date : 2023-05-11 DOI: 10.1007/s10203-023-00395-0
Udo Broll, Peter Welzel, K. Wong
{"title":"Hedging and the regret theory of the firm","authors":"Udo Broll, Peter Welzel, K. Wong","doi":"10.1007/s10203-023-00395-0","DOIUrl":"https://doi.org/10.1007/s10203-023-00395-0","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"12 1","pages":"1-15"},"PeriodicalIF":1.1,"publicationDate":"2023-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87663960","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
Implied higher order moments in the Heston model: a case study of S &P500 index 赫斯顿模型中的隐含高阶矩:以标准普尔500指数为例
IF 1.1
Decisions in Economics and Finance Pub Date : 2023-05-10 DOI: 10.1007/s10203-023-00396-z
F. Mehrdoust, Idin Noorani
{"title":"Implied higher order moments in the Heston model: a case study of S &P500 index","authors":"F. Mehrdoust, Idin Noorani","doi":"10.1007/s10203-023-00396-z","DOIUrl":"https://doi.org/10.1007/s10203-023-00396-z","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"1 1","pages":"1-28"},"PeriodicalIF":1.1,"publicationDate":"2023-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77831348","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: 1
Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business 多险种的最优比例及超额赔付再保险
IF 1.1
Decisions in Economics and Finance Pub Date : 2023-05-08 DOI: 10.1007/s10203-023-00398-x
M. Torrente
{"title":"Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business","authors":"M. Torrente","doi":"10.1007/s10203-023-00398-x","DOIUrl":"https://doi.org/10.1007/s10203-023-00398-x","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"26 1","pages":"1-23"},"PeriodicalIF":1.1,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88360519","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
Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies 修正:重新审视1/ n策略:最优策略的神经网络框架
Decisions in Economics and Finance Pub Date : 2023-04-20 DOI: 10.1007/s10203-023-00394-1
Marcos Escobar-Anel, Lorenz Theilacker, Rudi Zagst
{"title":"Correction: Revisiting the 1/N-strategy: a neural network framework for optimal strategies","authors":"Marcos Escobar-Anel, Lorenz Theilacker, Rudi Zagst","doi":"10.1007/s10203-023-00394-1","DOIUrl":"https://doi.org/10.1007/s10203-023-00394-1","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135613487","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
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