Despite the documented benefits of ride-sourcing services, recent studies show that they can slow down traffic in the densest cities significantly. To implement congestion pricing policies upon those vehicles, regulators need to estimate how much their congestion effects are. This paper studies...

We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous structure as the Black-Scholes model, the widely popular option...

We explore a new framework to approximate life insurance risk processes in the scenario of plentiful policyholders, via a bottom-up approach. Given the insurance contract structure, we aggregate the balance of individual policy accounts, and derive an approximating Gaussian process with...

We consider perpetuities of the form D=B1exp(Y1)+B2exp(Y1+Y2)+⋯, where the Yj’s and Bj’s might be i.i.d. or jointly driven by a suitable Markov chain. We assume that the Yj’s satisfy the so-called Cramér condition with associated root θ∗∈(0,∞) and that the tails of the Bj’s are...