Banks should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities sides. The...

Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random wealth variable Xi dominates Yi via ith-order stochastic dominance for i = M,N. We show that the 50-50 lottery [XN + YM, YN + XM] dominates the lottery [XN + XM, YN + YM] via (N +...

This paper focuses on dynamic financial modelling of recurring cash flow items in PPP projects in operating stage and on risks associated with the volatility of these cash flows. As we concentrate on so-called government-pays schemes, only cash-outflows are considered, such as operating costs,...

This paper presents a profit-oriented shift scheduling approach for inbound contact centers. The focus is on systems in which multiple agent classes with different qualifications serve multiple customer classes with different needs. We assume that customers are impatient, abandon if they have to...

This paper presents a linear programming approach to analyze and optimize flow lines with limited buffer capacities and stochastic processing times. The basic idea is to solve a huge but simple linear program that models an entire simulation run of a multi-stage production process in discrete...

The objective of this paper is to analyze the impact of regulatory and environmental conditions on technical efficiency of European railways. Using a panel data set of 31 railway firms from 22 European countries from 1994 to 2005, a multioutput distance function model, including regulatory and...

The literature has shown that product market frictions and firms dynamic play a crucial role in reconciling standard DSGE with several stylized facts. This paper studies optimal monetary policy in a DSGE model with sticky prices and oligopolistic competition. In this model firms' monopolistic...

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...

The availability of efficiency estimation software - freely distributed via the internet and relatively easy to use - recently inflated the number of corresponding applications. The resulting efficiency estimates are used without a critical assessment with respect to the literature on...

A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...