Rearrangement inequalities in non-convex insurance models
Guillaume Carlier,Rose-Anne Dana +1 more
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TLDR
In this paper, an existence theorem for a class of infinite-dimensional non-convex problems arising in symmetric and asymmetric information models is given and sufficient conditions for monotonicity of solutions are also given.About:
This article is published in Journal of Mathematical Economics.The article was published on 2005-08-01 and is currently open access. It has received 10 citations till now. The article focuses on the topics: Existence theorem.read more
Citations
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Journal ArticleDOI
Quantile and Probability Curves Without Crossing
TL;DR: In this paper, the authors proposed a method to address the problem of lack of monotonicity in estimation of conditional and structural quantile functions, also known as the quantile crossing problem.
Journal ArticleDOI
Real and Complex Analysis. By W. Rudin. Pp. 412. 84s. 1966. (McGraw-Hill, New York.)
TL;DR: In this paper, the Riesz representation theorem is used to describe the regularity properties of Borel measures and their relation to the Radon-Nikodym theorem of continuous functions.
Journal ArticleDOI
Reinsurance contract design with adverse selection
TL;DR: In this article, the authors follow the seminal works in economics to use the principal-agent (multidimensional screening) models to solve the problem of real-world economic problems.
Rearranging estimators of the value-at-risk and other risk measures
TL;DR: In this article, an increasing rearrangement procedure is proposed to rearrange the quantile estimates to achieve the desired approximation property that the rearranged quantile curve is closer to the true curve than the initial estimator.
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The Optimal Insurance Policy for the General Fixed Cost of Handling an Indemnity under Rank-Dependent Expected Utility
TL;DR: This work provides an insight into the sensitivity of an optimal solution for the insured’s initial wealth and the parameters related to the fixed cost function of handling an indemnity and compares the two different utility functions of the insured in terms of influence of optimal policy analysis.
References
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Book
Real and complex analysis
TL;DR: In this paper, the Riesz representation theorem is used to describe the regularity properties of Borel measures and their relation to the Radon-Nikodym theorem of continuous functions.
Book
Inequalities: Theory of Majorization and Its Applications
TL;DR: In this paper, Doubly Stochastic Matrices and Schur-Convex Functions are used to represent matrix functions in the context of matrix factorizations, compounds, direct products and M-matrices.
Journal ArticleDOI
Rationalizability, Learning, and Equilibrium in Games with Strategic Complementarities
Paul Milgrom,John Roberts +1 more
TL;DR: In this article, a rich class of non-cooperative games, including models of oligopoly competition, macroeconomic coordination failures, arms races, bank runs, technology adoption and diffusion, R&D competition, pretrial bargaining, coordination in teams, and many others, are studied.
Book
Comparison Methods for Stochastic Models and Risks
Alfred Müller,Dietrich Stoyan +1 more
TL;DR: In this article, the authors present an univariate Stochastic model for queuing systems and compare its properties with those of other non-stochastic models and compare risks.