7 papers
A Rank-Dependent Theory for Decision under Risk and Ambiguity
Roger J. A. Laeven, Mitja Stadje
This paper axiomatizes, in a two-stage setup, a new theory for decision under risk and ambiguity. The axiomatized preference relation on the space of random v…
Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
Felix FieÃinger, Mitja Stadje
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we consider an asset allocation problem to maximize time-consistently a mean-risk reward fu…
Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
Felix FieÃinger, Mitja Stadje
We adapt Leland's dynamic capital structure model to the context of an insurance company selling participating life insurance contracts explaining the existence of life insurance c…
Utility maximization under endogenous pricing
Thai Nguyen, Mitja Stadje
We study the expected utility maximization problem of a large investor who is allowed to make transactions on tradable assets in an incomplete financial market with endogenous perm…
The Itô-Ventzell formula for weak Dirichlet processes
Felix FieÃinger, Mitja Stadje
This paper proves an extension of the Itô-Ventzell formula that applies to stochastic flows in for continuous weak Dirichlet processes. We apply this theorem, for exampl…
Mean-Variance Optimization for Participating Life Insurance Contracts
Felix FieÃinger, Mitja Stadje
This paper studies the equity holders' mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for th…