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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition

Zhao, Lin; Wijnbergen, Sweder van - 2014

We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...

Persistent link: https://www.econbiz.de/10010465169

Solving penalised American options for jump diffusions using the POST algorithm

Hessing, Jean-Claude; Lange, Rutger-Jan; Ralph, Daniel - 2022

This article establishes the Poisson optional stopping times (POST) method by [22] as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the decision maker is permitted to "stop", i.e. exercise the...

Persistent link: https://www.econbiz.de/10012817150

Optimal search with costly recall

Janssen, Maarten C. W.; Parakhonyak, Alexei - 2008

This paper builds a consumer search model where the cost of going back to stores already searched is explicitly taken into account. We show that the optimal search rule under costly recall is very different from the optimal search rule under perfect recall. Under costly recall, the optimal...

Persistent link: https://www.econbiz.de/10011373816

Approximate results for a generalized secretary problem

Dietz, Chris; Laan, Dinard van der; Ridder, Ad - 2010

A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented one by one in a random order. It is assumed that b is bigger than or equal to 1 is a preassigned number. It is...

Persistent link: https://www.econbiz.de/10011381898

Biodiversity prospecting over time and under uncertainty : a theory of sorts

Batabyal, Amitrajeet A.; Nijkamp, Peter - 2013

Biodiversity prospecting refers to the exploration of the commercial value of genetic and biochemical resources. In this chapter, we study a drug producing pharmaceutical firm (PF) that searches for potentially useful chemicals made by wild organisms in a conservation area. This PF is able to...

Persistent link: https://www.econbiz.de/10010224811

Intergenerational sharing of unhedgeable inflation risk

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...

Persistent link: https://www.econbiz.de/10013460026

Voluntary participation and intergenerational risk sharing in a funded pension system

Beetsma, Roel; Romp, Ward E.; Vos, Siert J. - 2011 - This version: March 16, 2011

increases with risk aversion and financial market uncertainty. We find that it is likely that mandatory participation is …

Persistent link: https://www.econbiz.de/10011386164

Advance information and consumption insurance : evidence from panel data

Pedroni, Marcelo; Singh, Swapnil; Stoltenberg, Christian - 2022 - Preliminary, April 15, 2022

We investigate whether US households possess advance information about their future income and what this means for consumption insurance. Based on insights from a theoretical model, we propose a new test to detect advance information, which requires only panel data on consumption and income....

Persistent link: https://www.econbiz.de/10013186823

Investment, expectations and uncertainty : empirical evidence on the relevance of firm size

Koetse, Mark J.; Vlist, Arno J. van der; Groot, Henri … - 2003

This paper analyses the effect of uncertainty on investment spending. We analyse twotypes of investment, i.e. aggregate … investment and investment in energy saving technologies,using subjective evaluations of expectations and uncertainty of Dutch … general investment spending. Furthermore, expectationsand uncertainty have important although different effects on investment …

Persistent link: https://www.econbiz.de/10011333261

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10011334834