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The paper analyzes the strategic behavior of several countries engaged in capital accumulation, pollution mitigation, and environmental adaptation in the context of an environmental common good. Both cooperative and non-cooperativ...
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The paper analyzes the strategic behavior of several countries engaged in capital accumulation, pollution mitigation, and environmental adaptation in the context of an environmental common good. Both cooperative and non-cooperative strategies are discussed. The non-cooperative strategy is a dynamic game in which each country makes its own environmental decision following the open-loop Nash equilibrium. The cooperative social planner problem assumes an international environmental agreement in force. The non-cooperative and cooperative solutions are compared in the symmetric case of two countries and extended to several identical countries. It is shown that the non-cooperative strategy in multi-country world leads to over-production, over-consumption, over-pollution, and over-adaptation. (C) 2016 Elsevier B.V. All rights reserved.
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In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design ...
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In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated in the same way. Second, by introducing the "marginal indemnification functions", we characterize the optimal reinsurance contracts. We show that, for an optimal policy, the associated marginal indemnification function only takes the values zero and one. We will see how the roles of the market preferences and premiums and that of the total risk are separated. (C) 2014 Elsevier B.V. All rights reserved.
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Smart grid technologies may bring substantial advantages to society, but the required investments are sizable. This paper analyzes three main issues related to smart grids: reliability, demand response and cost recovery of investm...
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Smart grid technologies may bring substantial advantages to society, but the required investments are sizable. This paper analyzes three main issues related to smart grids: reliability, demand response and cost recovery of investments. In particular, we show that generators will lose profits as a direct effect of demand response initiatives, and most of the benefits of smart grids cannot be easily converted into payments. Moreover, there are potential issues in the choices made by utilities for providing smart grids, and the reliability pertinent to smart grids is a kind of public good.
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We examine mean field control problems on a finite state space, in continuous time and over a finite time horizon. We characterize the value function of the mean field control problem as the unique viscosity solution of a Hamilton...
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We examine mean field control problems on a finite state space, in continuous time and over a finite time horizon. We characterize the value function of the mean field control problem as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation in the simplex. In absence of any convexity assumption, we exploit this characterization to prove convergence, as N grows, of the value functions of the centralized N-agent optimal control problem to the limit mean field control problem value function, with a convergence rate of order 1/root N. Then, assuming convexity, we show that the limit value function is smooth and establish propagation of chaos, i.e. convergence of the N-agent optimal trajectories to the unique limiting optimal trajectory, with an explicit rate.
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