The first-order approach, which consists in replacing the incentive compatible constraint by the agent's first order condition, is widely used in agency problems where the principal cannot observe the level of effort chosen by the agent. This substitution is valid with the Monotone Likelihood...

The goal of this article is to isolate the significant determinants that affect the decision of non-financial firms to hedge their risks. Our application is for the North American gold mining industry. The random variable considered is the selling price of an ounce of gold. We show that several...

The aim of the present paper is to propose a rational model of decision-making for lotteries. The key element of the theory is the use of cognitive processes. The maximization of the degree of confidence associated with each judgment involves different processes. Our contribution explains some...

We analyze the effect of generalized first and second order stochastic dominance changes in a returns distribution on optimal financial portfolios with two risky and a risk free assets. We show that constant relative risk aversion plays an important role in explaining how the composition of the...

L'ojectifs de cette etude est d'analyser les accidents routier des vehicules commerciaux motorises (entreprises de transport par camions et par autobus).

Dans un article important , Ehrlich et Beker ont analyse les activites d'assurance, d'auto-assurance et de prevention dans un contexte financier unidimensionnel et mono-periodique. Nous examinons ici comment transformer le modele pour l'adapter au traitement du multidimensionnel ou la structure...

This paper analyses the implications of basic tests for lotteries on the probability weighting function w(p). We first show that the three standard tests for lottery choices imply that the w(p) function has a S-shape (first concave then convex) but is not regressive. For the pricing of lotteries...

This paper develops closed-form solutions for options on credit spreads with GARCH models. We extend the mean-reverting model proposed in Longstaff and Schwartz (1995) and we use the Heston and Nandi's (1999) GARCH specification rather than the traditional lognormal. Our model, being more...

In this paper we have proposed a methodology to separate moral hazard from adverse selection.

Le but de cet article est de fournir les outils necessaires a la determination des prix et des quantites d'equilibre fournis par un marche compose de N individus.