In this paper we analyse the problem of the modelling of individual transitions in presence of an incomplete sampling scheme.

In addition to showing the connection between parallel contingent and noncontingent risk comparison problems, we articulate a method for solving both kinds of problems using the "basis" approach. The basis approach has often been used implicitly, but we argue that there is value to making its...

This paper studies a classical extension of the Black and Scholes model of option pricing, often known as the Hull and White model. Our specificity is that the volatility process is assumed not only to be stochastic, but also to have long memory features and properties. We study here the...

In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are identical except that the first investor will live longer than the second one.