We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures. The solution is achieved by generalizing the approach in terms of multiple priors...

We study the effect of secondary markets on equity-linked life insurance contracts with surrender guarantees. The policyholders are assumed to be boundedly rational in giving up their contracts, and a proportion of policyholders will access the secondary markets instead of surrendering the...

We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal stopping problem, we propose a more realistic approach accounting for policyholders’ rationality in exercising their surrender option. The valuation is conducted at the...

We consider long-run behavior of agents assessing risk in terms of dynamic convex risk measures or, equivalently, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a robust representation, we show that all uncertainty is revealed in the limit and agents...

We propose a class of counting process models for analysing firing times of an ensemble of neurons. We allow the counting process intensities to be unspecified, unknown functions of the times passed since the most recent firings. Under this assumption we derive a class of statistics with their...

From noisy observations of a finite family of functions an approximation in a lower dimensional space can be constructed using the method of principal components. If certain restrictions are to be satisfied by the approximation, e.g. being densities, this leads to a modified estimation...