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On mean-variance optimal reinsurance-investment strategies in dynamic contagion claims models Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-09-06 Marina Santacroce, Barbara Trivellato
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Stochastic assessment of special-rate life annuities Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-09-04 Annamaria Olivieri, Daniela Tabakova
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
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Newsvendor problem with discrete demand and constrained first moment under ambiguity Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-08-30 Andrea Cinfrignini, Davide Petturiti, Gabriele Stabile
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Two sided ergodic singular control and mean-field game for diffusions Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-08-09 Sören Christensen, Ernesto Mordecki, Facundo Oliú
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Erio Castagnoli: scientist, teacher, mentor and friend Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-08-09 Paola Modesti, Lorenzo Peccati
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On Specimen Theoriae Novae de Mensura Sortis of Daniel Bernoulli Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-08-07 Paola Modesti
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Backward hedging for American options with transaction costs Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-08-06 Ludovic Goudenège, Andrea Molent, Antonino Zanette
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Preferences over risk changes in variance Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-08-07 Marzia De Donno, Mario Menegatti
This paper studies the linkages between different aspects of preferences in the presence of risk increases of different degrees in the variance of consumption. We find that the effects on expected utility of risk increases in variance of consecutive degrees are in opposite directions. Applying this result to saving choice when either labour income or the interest rate is random, we obtain that the
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Amortization dismantling to remove any doubt of anatocism Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-08-03 Viviana Fanelli, Silvana Musti
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The limitations of comonotonic additive risk measures: a literature review Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-08-03 Samuel S. Santos, Marcelo Brutti Righi, Eduardo Horta
Risk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with properties that are central in specific contexts. In this paper, we present a literature review of these incompatibilities. Specifically, we highlight
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Two-stage super-efficiency model for measuring efficiency of education in South-East Asia Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-07-21 M. Mujiya Ulkhaq, Giorgia Oggioni, Rossana Riccardi
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An adaptive evolutionary strategy for long–short portfolio construction Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-07-15 Giacomo di Tollo, Gerarda Fattoruso, Gianni Filograsso
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The life care annuity: enhancing product features and refining pricing methods Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-07-10 Giovanna Apicella, Marcellino Gaudenzi, Andrea Molent
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Some Skorohod-type results Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-07-01 Luca Pratelli, Pietro Rigo
Let S be a metric space, \(g:S\rightarrow \mathbb {R}\) a Borel function, and \((\mu _n:n\ge 0)\) a sequence of tight probability measures on \(\mathcal {B}(S)\). If \(\mu _n=\mu _0\) on \(\sigma (g)\), there are S-valued random variables \(X_n\), all defined on the same probability space, such that \(X_n\sim \mu _n\) and \(g(X_n)=g(X_0)\) for all \(n\ge 0\). Moreover, \(X_n\overset{a.s.}{\longrightarrow
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Optimal portfolios with anticipating information on the stochastic interest rate Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-28 Bernardo D’Auria, José A. Salmeron
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Representation of stochastic optimal control problems with delay in the control variable Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-25 Cristina Di Girolami, Mauro Rosestolato
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From Samuelson’s multiplier-accelerator to bifurcations and chaos in economic dynamics Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-24 Gian Italo Bischi
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Transboundary pollution control under evolving social norms: a mean-field approach Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-15 Davide La Torre, Rosario Maggistro, Simone Marsiglio
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An undertaking specific approach to address diversifiable demographic risk within Solvency II framework Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-15 Gian Paolo Clemente, Francesco Della Corte, Nino Savelli
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Altruistic behavior and international environmental agreements: a differential game approach Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-12 Armando Sacco
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Empirical risk analysis of mining a Proof-of-Work blockchain Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-10 Hansjörg Albrecher, Dina Finger, Pierre-O. Goffard
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Exponential expansions for approximation of probability distributions Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-10 Anna Maria Gambaro
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Stochastic optimal control problems with delays in the state and in the control via viscosity solutions and applications to optimal advertising and optimal investment problems Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-07 Filippo de Feo
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then, using the dynamic programming approach for infinite-dimensional systems, we prove that the value function is the unique viscosity solution of the infinite-dimensional
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Solvency analysis of deferred annuities Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-06-05 Khadija Gasimova, Steven Haberman, Pietro Millossovich
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Mortality models ensemble via Shapley value Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-05-31 Giovanna Bimonte, Maria Russolillo, Han Lin Shang, Yang Yang
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Optimality conditions for differentiable linearly constrained pseudoconvex programs Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-05-28 Riccardo Cambini, Rossana Riccardi
The aim of this paper is to study optimality conditions for differentiable linearly constrained pseudoconvex programs. The stated results are based on new transversality conditions which can be used instead of complementarity ones. Necessary and sufficient optimality conditions are stated under suitable generalized convexity properties. Moreover, two different pairs of dual problems are proposed and
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Optimal strategies for the decumulation of retirement savings under differing appetites for liquidity and investment risks Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-05-25 Benjamin Avanzi, Lewis De Felice
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Ellsberg 1961: text, context, influence Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-05-20 Ivan Moscati
In 1961 Daniel Ellsberg published an article titled “Risk, Ambiguity, and the Savage Axioms” in the Quarterly Journal of Economics, which became a seminal contribution to the theory of decision-making under uncertainty. This paper analyzes Ellsberg’s 1961 classic, situates it within the context of decision-making theory in the 1950s and early 1960s and within the development of Ellsberg’s ideas, and
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Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-05-10 Henrique Ferreira Morici, Elena Vigna
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Irr and equivalence of cash-flow streams, loans, and portfolios of bonds Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-05-10 Gino Favero, Gherardo Piacitelli
We show, through a Linear Algebra approach, that a general deterministic cash-flow stream admits a given Internal Rate of Return (irr, either constant or time-varying) if, and only if, it can be replicated by a suitable portfolio of bonds, each with yield to maturity equal to that same irr. Five particular replicating portfolios are examined, including and generalizing other representations known from
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The role of taxation in an integrated economic-environmental model: a dynamical analysis Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-05-04 Fausto Cavalli, Alessandra Mainini, Daniela Visetti
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Monotonic transformation and recovering the implied stock price process Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-04-24 Gianluca Fusai
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American options with acceleration clauses Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-04-22 Anna Battauz, Sara Staffolani
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Equilibrium asset pricing with short rate risk Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-04-21 Alessandro Sbuelz
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A mean field game model for optimal trading in the intraday electricity market Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-04-16 Sema Coskun, Ralf Korn
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Risk assessment for synthetic GICs: a quantitative framework for asset–liability management Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-04-11 Behzad Alimoradian, Jeffrey Jakubiak, Stéphane Loisel, Yahia Salhi
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Simon’s bounded rationality Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-04-10 Alfio Giarlotta, Angelo Petralia
This note in the Milestones series is dedicated to the paper “A Behavioral Model of Rational Choice”, written by Herbert Simon and published in 1955 on the Quarterly Journal of Economics.
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Rank-two programs involving linear fractional functions Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-04-09 Riccardo Cambini, Giovanna D’Inverno
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Modeling and forecasting mortality with economic, environmental and lifestyle variables Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-03-28 Matteo Dimai
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Risk sharing rule and safety loading in a peer to peer cooperative insurance model Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-03-27 Gian Paolo Clemente, Susanna Levantesi, Gabriella Piscopo
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Profit testing of profit sharing life insurance policies when asset returns are variance gamma distributed Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-03-26 Olivier Le Courtois, Li Shen
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Multivariate risk attitude: a comparison of alternative approaches in sustainability policies Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-03-21 Francesca Beccacece
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Optimal liquidation with high risk aversion and small linear price impact Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-03-13 Leonid Dolinskyi, Yan Dolinsky
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing a non-trivial scaling limit for a vanishing price impact which is inversely proportional to the risk aversion. We compute the limit of the corresponding utility
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Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-03-12 Tomasz Zastawniak
The Fundamental Theorem of Asset Pricing is extended to a market model over a finite probability space with many assets that can be exchanged into one another under combined fixed and proportional transaction costs. The absence of arbitrage in this setting is shown to be equivalent to the existence of a family of absolutely continuous single-step probability measures and a multi-dimensional martingale
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The power of derivatives in portfolio optimization under affine GARCH models Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-03-01 Marcos Escobar-Anel, Eric Molter, Rudi Zagst
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Disposition effect and its outcome on endogenous price fluctuations Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-28 Alessia Cafferata, Marco Patacca, Fabio Tramontana
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On entropy martingale optimal transport theory Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-26 Alessandro Doldi, Marco Frittelli, Emanuela Rosazza Gianin
In this paper, we give an overview of (nonlinear) pricing-hedging duality and of its connection with the theory of entropy martingale optimal transport (EMOT), recently developed, and that of convex risk measures. Similarly to Doldi and Frittelli (Finance Stoch 27(2):255–304, 2023), we here establish a duality result between a convex optimal transport and a utility maximization problem. Differently
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The impact of a winner takes all tournament on managers’ strategies and asset mispricing Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-22 Enrico Lupi
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Modeling financial leasing by optimal stopping approach Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-22 Luigi De Cesare, Lucianna Cananà, Tiziana Ciano, Massimiliano Ferrara
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The interaction between variable annuity providers and their customers under a dynamic approach Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-22 Anna Rita Bacinello, Rosario Maggistro, Ivan Zoccolan
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Mortgages with non-random time-varying interest rates Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-18 Laura Ziani
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Input/output-style approach to standardized traditional amortization plans Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-12 Flavio Pressacco, Laura Ziani
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Designing amortization plans by fairness Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-11 Rosario Maggistro, Mario Marino, Renato Pelessoni, Liviana Picech
Amortization plans are well-known financial operations to repay interest-bearing loans through a sequence of periodic payments. Since amortization plans are generally settled according to the compound interest law, some questions arise about the supposed presence of anatocism and the consequent legal matters. In this paper, we derive the traditional amortization plans by means of an alternative approach
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Variance of entropy for testing time-varying regimes with an application to meme stocks Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-05 Andrey Shternshis, Piero Mazzarisi
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A non-invariance result for the spatial AK model Decisions in Economics and Finance (IF 1.4) Pub Date : 2024-01-02 Cristiano Ricci
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Linear-quadratic-singular stochastic differential games and applications Decisions in Economics and Finance (IF 1.4) Pub Date : 2023-12-16 Jodi Dianetti
We consider a class of non-cooperative N-player nonzero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call these games linear-quadratic-singular stochastic differential games. Under natural assumptions, we show the
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The geometry of risk adjustments Decisions in Economics and Finance (IF 1.4) Pub Date : 2023-12-15 Hans-Peter Bermin, Magnus Holm
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Generally acceptable principles for financial amortization: a modest proposal Decisions in Economics and Finance (IF 1.4) Pub Date : 2023-12-14 Francesca Beccacece, Marco LiCalzi
We propose a minimal set of commonly acceptable principles to consistently formulate amortization schedules in accordance with different contractual clauses. Our goal is bringing to the fore premises that are sometimes left implicit, and yet seem to draw a wide consensus in practice. We demonstrate by means of examples how these principles may be used to deal with risk or financial innovations, and
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Actuarial modelling of Australian population retirement risks: an Australian functional disability and health state model Decisions in Economics and Finance (IF 1.4) Pub Date : 2023-12-07 Kyu Park, Michael Sherris
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The emergence of chaos in productivity distribution dynamics Decisions in Economics and Finance (IF 1.4) Pub Date : 2023-11-23 Orlando Gomes