منابع مشابه
Pooling, pricing and trading of risks
Exchange of risks is considered here as a transferable-utility cooperative game. When the concerned agents are risk averse, there is a core imputation given by means of shadow prices on state-dependent claims. Like in finance, a risk can hardly be evaluated merely by its inherent statistical properties (in isolation from other risks). Rather, evaluation depends on the pooled risk and the convol...
متن کاملPricing Strategies under Emissions Trading
ELFORSK Foreword Despite having had a deregulated electricity market in Sweden for over ten years we still need to increase our understanding as to how deregulated electricity markets actually work and how possible problems are to be solved. The electricity sector is key in greenhouse gas mitigation. Electricity generation accounts for roughly one-third of carbon dioxide emissions in the indust...
متن کاملTrading and rational security pricing bubbles
Securities markets theory includes repo and distinguishes shorting from issuing. Here we revisit whether trading alone can give rise to Ponzi schemes and rational bubbles. We show that under the same institutional arrangements that limit re-hypothecation (e.g., through segregated haircut rules or explicit leverage constraints on haircut collecting dealers), (1) trading Ponzi schemes are prevent...
متن کاملPricing the Risks of Default
We survey the developments in the ̄nance literature with respect to pricing default. A broad description of the issues is follwed by a detailed summary of the main points and features of the models proposed. Both option theoretic and hazard rate models are presented and critically reviewed.
متن کاملCoverage Denied: Excluding Bad Risks, Inefficiency, and Pooling in Insurance∗
Models of insurance with adverse selection predict that only the best risks— those least likely to suffer a loss—are uninsured, a prediction at odds with coverage denials for pre-existing conditions. They also typically assume that insurance provision is costless: the only cost is claims payment. We introduce costly insurance provision into a standard monopoly insurance model with adverse selec...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2008
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-007-0305-y