When people decide about saving and consumption across the various periods of their life time they take into account their life expectancy when comparing present and future needs and resources for satisfying them. The experimental design, applied at two sites (Humboldt-University at Berlin and...

The experimental situation presents a complex stochastic intertemporal allocation problem. First, two initial chance moves select one of three possible termination probabilities which then determines whether "life" lasts 3,4,5, or 6 periods. Compared to Anderhub et al. (1997) participants are...

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems. It is economically general in the sense that it works for any cash stream spaces, be it in dynamic trading settings, one-step...

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...

Empirical studies in family economics usually rely on questionnaires, statistical or panel data. Here we try to study experimentally some crucial aspects of engaging in a marriage. First the female partner can end the relationship or suggest one of the two forms of joint venture. Whereas a full...

In this experimental study of tax evasion and its determinants participants earn their income in a complex stochastic intertemporal environment including the possibility to invest into a risky asset. The earned income has to be declared in four tax returns which are randomly verified. If tax...

Problems arising in Finance have become a significant source of new developments in Stochastic Analysis. We discuss some recent case studies, in particular some decomposition and representation theorems which are motivated by problems of hedging derivatives and of intertemporal consumption choice.

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et aL (1999), and we prove a corresponding extension of the representation theorem in terms of probability measures on the underlying space of scenarios. As a case...