This paper formalises a three-tier administrative hierarchy. A benevolent federal government must decide how to fund an indivisible local public work, planned to be undertaken by a single firm. But the federal government observes neither the cost nor the local benefit of the project. To obtain...

The purpose of this paper is twofold: it presents the current state of the welfare state in the European Union, and it considers its future prospects given the various challenges to which it is exposed. In the presentation of social protection, which is the main component of the welfare state,...

An axiomatization of the interactions between the palyers of any coalition is given. It is based on three axioms: linearity, dummy and symmetry. These interaction indices extend the Banzhaf and Shapley values when using in addition two equivalent recursive axioms. Lastly, the authors give an...

This paper analyses how government policies can affect the steady state margins and output in European countries. It draws heavily on a study realized by Aziz J. and Leruth L. (1997), who show that the government can the cyclical behaviour of the economy by changing the composition of public...

This paper describes the application of a simulated annealing approach to the solution of a complex portfolio selection model. The model is a mixed integer quadratic programming problem which arises when Markowitz' classical mean-variance model is enriched with additional realistic constraints....

This paper presents a Gaussian reduced-form default risk model. The riskless rate follows a two-dimensional ARMA process. The mean-reverting default spread features a ratio involving the market value of the firm's assets. Under recurrent credit risk, bond prices are analytically derived. Using...

Cet article porte sur l'effet conjoint de l'accroissement de l'esperance de vie et de l'abaissement de l'age de l ; a retraite sur l'equilibre financier du systeme de retraite.

Notre but dans cet article est de montrer comment des theories mathematiques classiques et a priori abstraites peuvent trouver de tres belles applications dans le domaine financier. Le cas de la gestion des portefeuilles et du CAPM sont d'autant plus remarquables qu'ils restent encore...

Le ralentissement de la croissance economique et le vieillissement demographique expliquent que l'on s'interroge sur l'avenir de retraites fondees sur la repartition. L'objet de cet article est de montrer que la difficulte reelle a laquelle fait face notre systeme de retraite n'est pas de nature...

The European population is living longer but retiring earlier. More and more individuals are spending an increasing fraction of their lifetime relying on retirement benefits. At the same time, social security programs face mounting financial difficulties. The purpose of this paper is to explain...