Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true....

Nonlinear AC Optimal Power Flow (OPF) problems are commonly approximatedby linearized DC OPF problems to obtain real power solutions for restructured wholesalepower markets. We first present a standard DC OPF problem, which has thenumerically desirable form of a strictly convex quadratic...

We explore connections between the certainty equivalent return (CER) functional and theunderlying utility function. Curvature properties of the functional depend upon how utilityfunction attributes relate to Hyperbolic Absolute Risk Aversion (HARA) type utility functions.If the CER functional is...

The “End Racial Profiling Act of 2001” (ERPA) states that “nolaw enforcement agent or law enforcement agency shall engage in racial profiling” andmandates states to “collect detailed data on stops, searches, seizures, and arrests.” Wedevelop a stylized dynamic model of highway...

The Spanish immigration phenomenon and its consequences for the insurance industry, The effect of immigration on the demographic time-bomb in Spain; The effect of immigration on the Spanish insurance market...

Immigration context on Spain; Who are them and where do they come from?; What are they looking for?; Life cycle in country of destiny; Life style/profile overview; How to face up the challenge; AXA Spain Experience...

We describe a simulation-based algorithm for Bayesian estimation of structuraleffects in models where the outcome of interest and an endogenous treatment variableare ordered. Our algorithm makes use of a reparameterization, suggested by Nandramand Chen (1996) and Li and Tobias (2005) in the...