DOI

This work presents a two-player extraction game where the random terminal times follow (different) heavy-tailed distributions which are not necessarily compactly supported. Besides, we delve into the implications of working with logarithmic utility/terminal payoff functions. To this end, we use standard actuarial results and notation, and state a connection between the so-called actuarial equivalence principle, and the feedback controllers found by means of the Dynamic Programming technique. Our conclusions include a conjecture on the form of the optimal premia for insuring the extraction tasks; and a comparison for the intensities of the extraction for each player under different phases of the lifetimes of their respective machineries.

Язык оригиналаанглийский
Номер статьи1081
Число страниц29
ЖурналMathematics
Том8
Номер выпуска7
DOI
СостояниеОпубликовано - 1 июл 2020

    Предметные области Scopus

  • Математика (все)

ID: 61992486