We construct the contingent claims models that price participating policies with rate guarantees, bonuses and default risk. These policies are characterized by the sharing of profits from an investment portfolio between the insurer and the policy holders. A certain surplus distribution mechanism (reversionary bonus) is employed to credit interest at or above certain specified guaranteed rate pe...

This paper analyzes the impact of the No Ack policy in VoIP ad-hoc single-hop IEEE 802.11e networks. The No Ack policy consists on suppressing the MAC layer acknowledgement packets. This option dramatically reduces the duration of MAC frames and thus increments the maximum number of VoIP flows that can coexist in the network. The negative side is an increased packet loss rate and the consequent...

In this paper scientific uncertainty is defined as the impossibility to choose the correct stochastic process for the value of a public policy. The real option value of waiting under scientific uncertainty is derived using the difference between the geometric Brownian motion and the mean reverting process by applying contingent claim analysis. The results are compared with those generated by ei...

In the literature of supply chain management (SCM), the traditional approach to balance supply and demand is to design bilateral supply contracts in order to provide mutual benefits to both sellers and buyers. The commonly used contract parameters include decision rights, pricing, minimum purchase commitments, quantity flexibility, buyback or returns policies, allocation rules, lead time, and q...

Traditionally, optimal preventive maintenance strategies are derived under deterministic and constant rate demand. Using ‘‘option’’, a powerful financial derivative tool to tackle optimization problem under uncertain environment, this paper presents an analytical, option-based cost model for scheduling joint production and preventive maintenance when demand is uncertain. The manufacturing enter...

The past decade has seen a dynamic and contradictory treatment of difference in French policy-making, both nationally and locally. However, the means by which local difference orientated policies redefine the national is understudied. This article bridges this gap with a case study analysis of Marseille and Lyon to assess and typologize the ways that difference is deployed in local policy to in...

This paper conducts a comprehensive study of the optimal exercise policy for an executive stock option and its implications for option cost, average life, and alternative valuation concepts. The paper is the first to provide analytical results for an executive with general concave utility. Wealthier or less risk-averse executives exercise later and create greater option cost. However, option co...

BACKGROUND The adverse relation between dietary trans fatty acid (TFA) intake and coronary artery disease risk is well established. Many countries in the European Union (EU) and worldwide have implemented different policies to reduce the TFA intake of their populations. OBJECTIVE The aim of this study was to assess the added value of EU-level action by estimating the cost-effectiveness of 3 p...

Implicit methods for Hamilton–Jacobi–Bellman (HJB) partial differential equations give rise to highly nonlinear discretized algebraic equations. The classic policy iteration approach may not be efficient in many circumstances. In this article, we derive sufficient conditions to ensure convergence of a combined fixed point policy iteration scheme for the solution of discretized equations. Numeri...

Uncertain demand combined with a positive lead time for adding capacity creates the risk of capacity shortage during the lead time. Accurate shortage estimation is very important to determine a capacity expansion policy. In this paper, we investigate four kinds of option pricing methods to estimate the shortage during a fixed lead time under the assumption of an exponential trend for demand gro...