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作者：Guiotto, Paolo; Roncoroni, Andrea
作者单位：University of Padua; ESSEC Business School
摘要：We develop a normative framework for the optimal design, value assessment, and risk management integration of combined custom contingent claims. A risk-averse firm faces a mix of financially insurable and noninsurable risk. The firm seeks optimal positioning in a pair of custom claims, one written on the insurable term and another written on any listed index correlated to the noninsurable term. We prove that a unique optimum always exists unless the index is redundant and show that the optimal...
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作者：Ayesta, Urtzi; Bodas, Tejas; Dorsman, Jan-Pieter L.; Verloop, Ina Maria
作者单位：Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Centre National de la Recherche Scientifique (CNRS); Universite Federale Toulouse Midi-Pyrenees (ComUE); Institut National Polytechnique de Toulouse; Basque Foundation for Science; Universite Federale Toulouse Midi-Pyrenees (ComUE); Universite de Toulouse; Institut National Polytechnique de Toulouse; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute of Physics (INP); University of Basque Country; Indian Institute of Technology System (IIT System); Indian Institute of Technology (IIT) - Dharwad; University of Amsterdam
摘要：We study a token-based central queue with multiple customer types. Customers of each type arrive according to a Poisson process and have an associated set of compatible tokens. Customers may only receive service when they have claimed a compatible token. If, upon arrival, more than one compatible token is available, then an assignment rule determines which token will be claimed. The service rate obtained by a customer is state-dependent, that is, it depends on the set of claimed tokens and on ...
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作者：Light, Bar; Weintraub, Y. Gabriel
作者单位：Stanford University
摘要：The standard solution concept for stochastic games is Markov perfect equi-librium; however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE), which has been popularized in recent literature. MFE takes advantage of averaging effects in models with a large number of players. We make three main contributions. First, our main result provides conditions that ensure the uniqueness of an MFE. We believe this uniqueness result is...
