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作者：Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry
作者单位：Southern University of Science & Technology; University of Copenhagen; Imperial College London
摘要：In this paper, we consider the optimal dividend payment strategy for an insurance company that has two collaborating business lines. The surpluses of the business lines are modeled by diffusion processes. The collaboration between the two business lines permits that money can be transferred from one line to another with or without proportional transaction costs, while money must be transferred from one line to another to help both business lines keep running before simultaneous ruin of the two...
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作者：Adan, Ivo; Busic, Ana; Mairesse, Jean; Weiss, Gideon
作者单位：Eindhoven University of Technology; Inria; Universite PSL; Ecole Normale Superieure (ENS); Centre National de la Recherche Scientifique (CNRS); Sorbonne Universite; Centre National de la Recherche Scientifique (CNRS); University of Haifa
摘要：The model of FCFS infinite bipartite matching was introduced in Caldentey, Kaplan and Weiss, 2009. In this model, there is a sequence of items that are chosen i.i.d. from a finite set C and an independent sequence of items that are chosen i.i.d. from a finite set S, and a bipartite compatibility graph G between C and S. Items of the two sequences are matched according to the compatibility graph, and the matching is FCFS, meaning that each item in the one sequence is matched to the earliest com...
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作者：Fryer, Roland; Harms, Philipp
作者单位：Harvard University; National Bureau of Economic Research; University of Freiburg
摘要：We present a two-armed bandit model of decision making under uncertainty where the expected return to investing in the risky arm increases when choosing that arm and decreases when choosing the safe arm. These dynamics are natural in applications such as human capital development, job search, and occupational choice. Using new insights from stochastic control, along with a monotonicity condition on the payoff dynamics, we show that optimal strategies in our model are stopping rules that can be...
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作者：Abdi, Ahmad; Pashkovich, Kanstantsin; Cornuejols, Gerard
作者单位：University of Waterloo; Carnegie Mellon University
摘要：For a clutter C over ground set E, a pair of distinct elements e, f is an element of E are coexclusive if every minimal cover contains at most one of them. An identification of C is another clutter obtained after identifying coexclusive elements of C. If a clutter is nonpacking, then so is any identification of it. Inspired by this observation, and impelled by the lack of a qualitative characterization for ideal minimally nonpacking (mnp) clutters, we reduce ideal mnp clutters even further by ...
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作者：Jin, Xing; Luo, Dan; Zeng, Xudong
作者单位：University of Warwick; Shanghai University of Finance & Economics
摘要：This paper studies the dynamic portfolio choice problem with ambiguous jump risks in a multidimensional jump-diffusion framework. We formulate a continuous-time model of incomplete market with uncertain jumps. We develop an efficient path-wise optimization procedure based on the martingale methods and minimax results to obtain closed-form solutions for the indirect utility function and the probability of the worst scenario. We then introduce an orthogonal decomposition method for the multidime...
