Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование
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 оригинала | английский |
---|---|
Номер статьи | 1081 |
Число страниц | 29 |
Журнал | Mathematics |
Том | 8 |
Номер выпуска | 7 |
DOI | |
Состояние | Опубликовано - 1 июл 2020 |
ID: 61992486