Axis 2: Behaviour in uncertainty: Insurance demand, investment and saving.Latest issues (2017)

  • Denis L., Beissner P., Duality and General Equilibrium Theory under Knightian Uncertainty, to appear in SIAM Journal in Mathematical Finance.
  • Garbit R., On the exit time from an orthant for badly oriented random walks. Brazilian Journal of Probability and Statistics, to appear.
  • Graczyk P., Alili L., Chaumont L., Zak L., Inversion, duality and Doob h-transforms for self-similar Markov processes (avec), 19pp., Electron. J. Probab. 2017
  • Graczyk P., Ishi H., (underline S. Mamane et H. Ochiai), On the Letac-Massam conjecture on cones $Q_{A_n}$, to appear in Proceedings of the Japan Academy, Series A, 2017.
  • Graczyk P., Malecki J., Mayerhofer E., A Characterization of Wishart Processes and Wishart Distributions, to appear in SPA, 2017.
  • Graczyk P., Luks T., Rosler M., On the Green function and Poisson integrals of the Dunkl Laplacian, to appear in Potential Anal. 2017.
  • Graczyk P., Ishi H., Mamane S., Wishart exponential families on cones related to $A_n$ graphs, to appear in Annals of the Institute of Statistical Mathematics, 2017.
  • Graczyk P., MaleckiJ., Generalized Squared Bessel particle systems, to appear in Bernoulli, 2017.
  • Kurtbegu E., Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets, Insurance: Mathematics and Economics, December 2017
  • Salminen P., Vostrikova L. On exponential functionals of processes with independent increments. Theory of probability and their applications, 2017, accepted
  • Vostrikova L. On distributions of exponential functionals of the processes with independent increments. Preprint 2017.

Publications 2016

Work in progress

  • Kurtbegu E., Nguyen H., Pension Funds and Financing of the economy
  • Messe P.J., Wolff, F.C. (2017) Healthier when retiring earlier? Evidence from France. CEPREMAP working paper No 1703
  • Messe P.J., Le Duigou S. (2017) Pension reforms, older workers’ employment and the role of job separation and finding rates in France. TEPP working paper No 2017-10