An F-cone is a pointed and generating convex cone of a real vector space that is the union of a countable family of finite dimensional polyedral convex cones such that each of which is an extremel subset of the subsequent one. In this paper, we study securities markets with countably many...

We consider a life-cycle model with bequest motives, and assume that the individual does not know his/hersurvival probability and has maxmin utility preferences; we show that it is optimal not to annuitize but to purchase pure life insurance policies instead.

The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of the elder people may modify the savings behaviour of households. The level of savings, as well as its composition, may be...

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has...

The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of elder people may modify the saving behaviour of French households. The level of saving, as well as its composition, may be...

Les actifs financiers sûrs sont au cœur de la finance de marché aujourd'hui. L'aptitude de tels actifs à protéger la valeur de l'épargne et des avoirs financiers, à servir de garantie à des prêteurs, à permettre aux entités souveraines de se financer ou encore aux banques centrales de...

In this paper, we want to characterize the optimal health insurance contract with adverse selection and moral hazard. We assume that policyholders differ by the permanent health status loss and choose an unobservable preventive effort in order to reduce the probability of illness which is...

This paper investigates the impact of health risk on insurance contract with hazard moral. We use a bi-dimensional utility function (wealth and health status). We prove that the type of health risk influences the equilibrium of insurance market. A full coverage is possible with moral hazard....