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under uncertainty and imprecision risk. In the fifth part fuzzy probabilistic sets are applied for actuarial mathematics. …
Persistent link: https://www.econbiz.de/10011260964
Importance of risk and uncertainty in present period of dynamic changes grows. The article deals with risk and … uncertainty in strategic decision making. First the concepts of risk and uncertainty and possibilities of their measurement are … is on discussion of decision making methods under risk and uncertainty (including decision tables, scenarios, Monte Carlo …
Persistent link: https://www.econbiz.de/10005258283
Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible environments. In this article, we provide a simple solution to this problem in a general incomplete-market economy in which a hedger, guided by the traditional minimum-variance...
Persistent link: https://www.econbiz.de/10009024486
Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple...
Persistent link: https://www.econbiz.de/10005656376
profit stream under the Knightian uncertainty. Multiple priors are modeled as a ``cloud" of diffusion processes with embedded …
Persistent link: https://www.econbiz.de/10010944717
. Conversion decisions are taken under uncertainty about the value of environmental services by a multitude of landholders … conversion dynamics under different policy scenarios, we show that uncertainty, even if inducing conversion postponement in the …
Persistent link: https://www.econbiz.de/10010833966
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and which have been recognized by them. The capital of the...
Persistent link: https://www.econbiz.de/10008493598
function and underlying uncertainty. We provide analytic expressions and numerical examples for discount factors assuming … simple utility functions and gaussian uncertainty. …
Persistent link: https://www.econbiz.de/10005135046
We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be non-monotone. As applications, we consider exit and entry problems in the theory of real options, and an entry problem with an embedded option to exit.
Persistent link: https://www.econbiz.de/10008788791
under uncertainty about the value of environmental services and irreversible development. We study land conversion under … adequate participation in a conservation plan. We analytically determine the impact of uncertainty and optimal policy …
Persistent link: https://www.econbiz.de/10008876625