In this paper we study the optimal management of an aggregated pension fund of defined benefit type, in the presence of a stochastic interest rate. We suppose that the sponsor can invest in a savings account, in a risky stock and in a bond with the aim of minimizing deviations of the unfunded actuarial liability from zero along a finite time horizon. We solve the problem by means of optimal sto...

This paper concerns with the problem of determining an optimal control on the dividend and investment policy of a firm. We allow the company to make an investment by increasing its outstanding indebtedness, which would impact its capital structure and risk profile, thus resulting in higher interest rate debts. We formulate this problem as a mixed singular and switching control problem and use a...

Changes in productivity due to technological progress or regress are incorporated in models of data envelopment analysis (DEA) in two ways: either through a network technology or in terms of a capacity variable or capital input embodying technical progress. The second way is analyzed here in terms of time-varying capital inputs due to the changes in input prices over time. This provides an opti...

– This paper examines congestion control for explicit rate data networks. The Available Bit Rate (ABR) service category of Asynchronous Transfer Mode (ATM) networks serves as an example system for this paper, however the results of this paper are applicable to other explicit rate systems as well. After a plant model is established, an adaptive control strategy is presented and compared to other...

Companies with high reworks rate have a real problem of flow management. Despite methods in place leading to minimize the number of reworks, they often must implement palliative solutions to manage disturbed flows. We propose in this paper a diagnostic approach based on reworks and flow disturbance indicators to enable them to view the disturbing status of their workshop. This work is a part of...

The formation of PCDD/Fs (dioxins/furans) due to incomplete combustion in solid waste incinerators has caused tremendous public concern. Consequently, more stringent standards for combustion and emission control have been implemented in order to mitigate the formation of these substances. This change in regulations will inevitably result in shutting down many small-scale incinerators because of...

We consider an optimal investment problem proposed by Bielecki and Pliska. The goal of the investment problem is to optimize the long term growth of expected utility of wealth. We consider HARA utility functions with exponent −∞ < γ < 1. The problem can be reformulated as an infinite time horizon risk sensitive control problem. Some useful ideas and results from the theory of risk sensitive con...

Derivatives exposures across large financial institutions often contribute to – if not necessarily create – systemic risk. Current reporting standards for derivatives exposures are nevertheless inadequate for assessing these systemic risk contributions. In this paper, the author explains how a transparency standard, in contrast to the current standard, would facilitate such risk analysis. He al...