Inspired by the classical riot model proposed by Granovetter in 1978, we consider a parametric stochastic dynamical system describing the collective behavior of a large population of interacting agents. By controlling a parameter, a policy maker aims at maximizing her own utility which, in turn,...

The aim of this paper is to construct a dynamic programming algorithm for pricing variable annuities with GLWB under a stochastic mortality framework. Although our set-up is very general and only requires the Markovian property for the mortality intensity and the asset price processes, in the...

Purpose – The purpose of this paper is to tackle the problem an electricity trader faces when trying to set and validate his sale prices. Design/methodology/approach – The solution approach consists in offering adequate incentives to the customers in order to encourage them to shift their...