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Bier, Monika; Engelage, Daniel - 2010

We consider long-run behavior of agents assessing risk in terms of dynamic convex risk measures or, equivalently, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a robust representation, we show that all uncertainty is revealed in the limit and agents...

Persistent link: https://www.econbiz.de/10010270415

A Note on Kalman Filter Approach To Solution of Rational Expectations Models

Sorge, Marco M. - 2010

In this note, a class of nonlinear dynamic models under rational expectations is studied. A particular solution is found using a model reference adaptive technique via an extended Kalman filtering algorithm, for which initial conditions knowledge only is required.

Persistent link: https://www.econbiz.de/10010270416

Uncertain Demand, Consumer Loss Aversion, and Flat-Rate Tariffs

Herweg, Fabian - 2010

The so called flat-rate bias is a well documented phenomenon caused by consumers' desire to be insured against fluctuations in their billing amounts. This paper shows that expectation-based loss aversion provides a formal explanation for this bias. We solve for the optimal two-part tariff when...

Persistent link: https://www.econbiz.de/10010270418

Market Structure and Matching with Contracts

Westkamp, Alexander - 2010

Ostrovsky [10] develops a theory of stability for a model of matching in exogenously given networks. For this model a …

Persistent link: https://www.econbiz.de/10010270419

Price Discrimination in Input Markets: Downstream Entry and Welfare

Herweg, Fabian; Müller, Daniel - 2010

The extant theory on price discrimination in input markets takes the structure of the intermediate industry as …

Persistent link: https://www.econbiz.de/10010270421

Risk in a Simple Temporal Framework for Expected Utility Theory and for SKAT, the Stages of Knowledge Ahead Theory

Pope, Robin; Selten, Reinhard - 2009

The paper re-expresses arguments against the normative validity of expected utility theory in Robin Pope (1983, 1991a … essential uniqueness property in the context of temporal and atemporal expected utility theory and a proof of the absence of a … limit property natural in an axiomatised approach to temporal expected utility theory. Problems of the time structure of …

Persistent link: https://www.econbiz.de/10010270422

Convertible Bonds: Risks and Optimal Strategies

Huang, Haishi - 2010

Within the structural approach for credit risk models we discuss the optimal exercise of the callable and convertible bonds. The Vasiček-model is applied to incorporate interest rate risk into the firm’s value process which follows a geometric Brownian motion. Finally, we derive pricing...

Persistent link: https://www.econbiz.de/10010270423

Heterogeneous consumers, segmented asset markets, and the effects of monetary policy

Enders, Zeno - 2010

This paper examines the implications of segmented assets markets for the real and nominal effects of monetary policy. I develop a model, in which varieties of consumption bundles are purchased sequentially. Newly injected money thus disseminates slowly through the economy via second-round...

Persistent link: https://www.econbiz.de/10010270424

The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts

Li, Jing; Szimayer, Alexander - 2010

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

Persistent link: https://www.econbiz.de/10010270425

Convertible Bonds: Default Risk and Uncertain Volatility

Huang, Haishi - 2010

Within a default intensity approach we discuss the optimal exercise of the callable and convertible bonds. Pricing bounds for convertible bonds are derived in an uncertain volatility model, i.e. when the volatility of the stock price process lies between two extreme values.

Persistent link: https://www.econbiz.de/10010270426