17 citations · 25 across the 6 of their papers we have counts for
7 papers
Optimal investment and Pension policy in Pay-As-You-Go systems under forward utility and ageing population
Jennifer Alonso-Garcia, Caroline Hillairet, Sarah Kaakai +1
This paper investigates optimal investment and pension policies in a Pay-As-You-Go (PAYG) system supplemented by a buffer fund used as an intergenerational risk-sharing mechanism.…
Comparing Spectroscopy Measurements in the Prediction of in Vitro Dissolution Profile using Artificial Neural Networks
Mohamed Azouz Mrad, Kristóf Csorba, Dorián László Galata +2
Dissolution testing is part of the target product quality that is essential in approving new products in the pharmaceutical industry. The prediction of the dissolution profile base…
Time-consistent pension policy with minimum guarantee and sustainability constraint
Caroline Hillairet, Sarah Kaakai, Mohamed Mrad
This paper proposes and investigates an optimal pair investment/pension policy for a pay-as-you-go (PAYG) pension scheme. The social planner can invest in a buffer fund in order to…
Ramsey Rule with Progressive utility and Long Term Affine Yields Curves
Nicole El Karoui, Mohamed Mrad, Caroline Hillairet
The purpose of this paper relies on the study of long term affine yield curves modeling. It is inspired by the Ramsey rule of the economic literature, that links discount rate and…
Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule th…
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
N. El Karoui, Mohamed M'Rad
The paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random fields are defined…
An Exact Connection between two Solvable SDEs and a Nonlinear Utility Stochastic PDE
Nicole El Karoui, Mohamed Mrad
Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the Itô random fields which are utility functions for any . The main tool is the marginal…