This paper studies the valuation and optimal strategy of convertible bonds as a Dynkin game by using the reflected backward stochastic differential equation method and the variational inequality method. We first reduce such a Dynkin game to an optimal stopping time problem with state constraint,...

This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and terminal wealth, and the uncertain prospects are ranked...

In the spirit of the elasticity of taxable income literature, which has primarily considered federal taxes using individual data, we estimate panel regressions of state personal income tax bases on state tax rates, structures, and other controls. We consider actual tax base data gathered...

In defined contribution (DC) pension schemes, the financial risk borne by the member occurs during the accumulation phase. To build up sufficient funds for retirement, scheme members invest their wealth in a portfolio of assets. This paper considers an optimal investment problem of a scheme...

Medicare can realize significant cost savings through anti-obesity medications that produce substantial weight loss, and as a result, reduce the progression to type 2 diabetes, and improve blood pressure and glycemic indicators in hypertensive and diabetic patients, respectively. Medications are...

Should an investor unwind his portfolio in the face of changing economic conditions? We study an investor's optimal trading strategy with finite horizon and transaction costs in an economy that switches stochastically between two market conditions. We fully characterize the investor's time...

The High Priority Violation (HPV) Policy represents a way to target enforcement in environmental regulations; serious air pollution violators are targeted with timely and appropriate enforcement, and such enforcement usually means high degree of regulatory scrutiny. Despite the importance of...

Prescription drug coverage creates a change in medical care consumption, beyond standard moral hazard, arising both from the differential cost-sharing and the relative effectiveness of different types of care. We model the dynamic supplemental health insurance decisions of Medicare...

There has been ongoing debate about the health risks associated with increased body weight among the elderly population. One issue has not been investigated thoroughly is that body weight changes over time, as both the reasons and results of, the development of chronic diseases and functional...