Governments choose to issue risky or riskless debt depending on the nature of the stochastic process of output. We use Brownian motion and Poisson shocks a modeling method in the literature on corporate default known as Levy processes to approximate a deco ...
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
Droughts pose a significant challenge to farmers, insurers as well as governments around the world and the situation is expected to worsen in the future due to climate change. We present a large scale drought risk assessment approach that can be used for c ...
An accurate assessment of the risk of extreme environmental events is of great importance for populations, authorities and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a corresponding set of axioms ...
Farmers can manage their crops and farms better if they can communicate their experiences, both positive and negative, with each other and with experts. Digital agriculture using internet communication technology (ICT) may facilitate the sharing of experie ...
We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...
There is a need for efficient and “off-the-shelf” grafts in urethral reconstructive surgery. Currently available surgical techniques require harvesting of grafts from autologous sites, with increased risk of surgical complications and added patient discomf ...
This thesis presents new flexible dynamic stochastic models for the evolution of market prices and new methods for the valuation of derivatives. These models and methods build on the recently characterized class of polynomial jump-diffusion processes for w ...
Falls are one of the most serious problems in the elderly. Although previous studies clearly link the increased risk of falls with ageing, the mechanisms responsible for the modifications of reactive motor behaviours in response to external perturbations a ...
