A linear backward stochastic differential equation was introduced by Bismut (1973) in an
attempt to solve an optimal stochastic control problem by the maximum principle. The …

Praise for Marketing Champions" Much has been written about the importance of using
marketing principles and tools effectively. But we've paid far less attention to how marketing …

Weather derivatives are a relatively recent kind of financial product developed to manage
weather risks, and currently the weather derivatives market is the fastest‐growing derivative …

Retail activities are increasingly exposed to unseasonal weather causing lost sales and
profits, as climate change is aggravating climate variability. Although research has provided …

We study a rational valuation and hedging principle for contingent claims which integrate
tradable and non-tradable sources of risk. The principle is based on the preferences of a …

We investigate robust reinsurance contracts in two reinsurance modes, namely proportional
reinsurance and excess-loss reinsurance, in a continuous-time principal–agent framework …

We discuss an optimal excess-of-loss reinsurance contract in a continuous-time principal-
agent framework where the surplus of the insurer (agent/he) is described by a classical …

We consider evaluation methods for payoffs with an inherent financial risk as encountered
for instance for portfolios held by pension funds and insurance companies. Pricing such …

This paper proposes an extension of the minimal Hellinger martingale measure (MHM
hereafter) concept to any order q≠ 1 and to the general semimartingale framework. This …

We seek the optimal dynamic consumption, investment, and insurance strategies for an
individual who seeks to maximize her expected discounted utility of consumption and …