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Article
Minimizing the Probability of Lifetime Exponential Parisian Ruin
We find the optimal investment strategy in a Black–Scholes market to minimize the probability of so-called lifetime exponential Parisian ruin, that is, the probability that wealth exhibits an excursion below zero...
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Article
Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
We compute the optimal investment and consumption strategies for an individual who wishes to maximize her expected discounted exponential utility of lifetime consumption, while imposing a constraint on the exp...
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Article
Optimal dividends with an affine penalty
We find the optimal dividend strategy in two related risk models under an affine penalty for ruin. The first risk model is the classical Cramér–Lundberg risk model, and the second is the so-called dual risk mo...
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Article
Proving regularity of the minimal probability of ruin via a game of stop** and control
We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and the individual can invest in a Black–Sc...
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Article
Optimal investment strategy to minimize occupation time
We find the optimal investment strategy to minimize the expected time that an individual’s wealth stays below zero, the so-called occupation time. The individual consumes at a constant rate and invests in a Black...
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Article
Open AccessOptimal risk sharing under distorted probabilities
We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing hous...
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Article
Correspondence between lifetime minimum wealth and utility of consumption
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval O i...
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Article
Supermodular Functions on Finite Lattices
The supermodular order on multivariate distributions has many applications in financial and actuarial mathematics. In the particular case of finite, discrete distributions, we generalize the order to distribut...
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Article
Decomposition properties of dual choice functionals
The Gini coefficient is a well-known measure of inequality, and it satisfies a non-overlap** additive decomposition property (Ebert 1988b). The Gini coefficient is related to the dual theory of choice, as d...
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Article
Equilibrium in Competitive Insurance Markets Under Adverse Selection and Yaari's Dual Theory of Risk
Under Yaari's dual theory of risk, we determine the equilibrium separating contracts for high and low risks in a competitive insurance market, in which risks are defined only by their expected losses, that is,...
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Article
Explaining Insurance Policy Provisions via Adverse Selection
In this article, we show that common insurance policy provisions—namely, deductibles, coinsurance, and maximum limits—can arise as a result of adverse selection in a competitive insurance market. Research on a...