搜索结果: 1-5 共查到“理论经济学 indifference”相关记录5条 . 查询时间(0.125 秒)
A Representation for Intransitive Indifference Relations
Utility function Error Just noticeable difference Interval order
2015/9/23
Binary relations representable by utility functions with multiplicative error are considered. It is
proved that if the error is a power of utility then the underlying binary relation is either an int...
Indifference of Defaultable Bonds with Stochastic Intensity models
Credit Risk model Cox Process HJB equations
2010/10/19
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived....
A policyholder's utility indifference valuation model for the guaranteed annuity option
Indi erence Valuation Guaranteed Annuity Option g.a.o Incom-plete Markets Insurance Life Annuity Annuitization Optimal Asset Allocation
2010/11/2
Insurance companies often include very long-term guarantees in par-ticipating life insurance products, which can turn out to be very valuable.Under a guaranteed annuity options (g.a.o.), the insurer g...
A Praxeological Case for Homogeneity and Indifference
Praxeological Case Homogeneity Indifference
2009/7/23
The purpose of the article below is to explain the concept of homogeneity,
the basis for the law of diminishing marginal utility. We will not rely on a psychological
definition as Block (1980) does....
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Backward stochastic differential equations Dynamic convex risk measures Incomplete markets Indifference pricing
2010/11/2
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon T , this paper proves that for general dynamic convex risk measures, the buyer’s (pbuyer t ) and selle...