The paper examines the optimal annuitization time and the optimal consumption/investment strategies for a retired individual subject to a constant force of mortality in an all-or-nothing framework. We allow for a different utility of consumption before and after annuitization. For a general...

This paper investigates how a manager¡¯s compensation contract where good performance are rewarded and poor performance are penalized impacts on the managerial risk taking propensity. The results of the model indicate that the presence of underperformance penalty has a strong impact on the...

In this paper we propose a continuous time stochastic inventory model for a traded commodity whose supply purchase in the spot market is affected by price and demand uncertainty. A firm aims at meeting a random demand of the commodity at a random time by maximizing total expected profits. We...

In this note we provide a large deviation principle for Poisson shot noise processes under heavy tail semi-exponential conditions on the total shot per arrival. As in the light tail case, our result shows an insensitivity property of the model.