We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results enable to quantify the impact of fire sales on the covariance structure of asset returns and provide a quantitative explanation for...

The one-year prediction error (one-year MSEP) proposed by Merz and Wüthrich has become a market-standard approach for the assessment of reserve volatilities for Solvency II purposes. However, this approach is declined in a univariate framework. Moreover, Braun proposed a closed-formed...

A local public goods game in weighted and directed networks is analyzed. Individual efforts are imperfect substitutes, players' preferences are heterogeneous and local externalities are non-uniform and asymmetric. Sufficient conditions under which the game admits a unique equilibrium are...

One answers to an open question of Herings et al. (2008), by proving that their fixed point theorem for discontinuous functions works for mappings defined on convex compact subset of $\R^n$, and not only polytopes. This fixed point theorem can be applied to the problem of Nash equilibrium...

In recent years, there has been a rising concern about the policy of major search engines, and more specifically about their ranking in so-called organic results corresponding to keywords searches. The associated proposition is that their behavior should be regulated. The concern comes from...

We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the exploitation to a private consortium, or the firm supports the debt and the investment but outsources the...

One answers to an open question of Herings et al. (2008), by proving that their fixed point theorem for discontinuous functions works for mappings defined on convex compact subset of a Euclidean space, and not only polytopes. This rests on a fixed point result of Toussaint

Answering to an open question of Herings et al. (see [3]), one extends their fixed point theorem to mappings defined on convex compact subset of Rn, and not only polytopes. Such extension is important in non-cooperative game theory, where typical strategy sets are convex and compact. An...