A simple axiomatization and constructive representation proof for choquet expected utility

>P>Summary. We provide a set of simple and intuitive set of axioms that allow for a direct and constructive proof of the Choquet Expected Utility representation for decision making under uncertainty. Received: October 29, 2002; revised version: November 13, 2002 RID="*" ID="*" We thank Matthew Ryan for very useful comments and suggestions on related work and for encouraging us to write this note. Correspondence to: S. Grant     

Subjective ambiguity, expected utility and Choquet expected utility

Summary. Using the Savage set up, this paper provides a simple axiomatization of the Choquet Expected Utility model where the capacity is an inner measure. Two attractive features of the model are its specificity and the transparency of its axioms. The key axiom states that the decision-maker uses unambiguous acts to approximate ambiguous ones. In addition, the notion of ‘ambiguity’ is subjective and derived from preferences. Received: March 23, 2000; revised version: April 24, 2001     

Eliciting the core of a supermodular capacity

Summary. The paper utilizes duality theory to derive an exact representation of the core of a supermodular capacity for finite-state-space Choquet expected utility preferences. Using the dual representation we develop an algorithm that uses information on willingness to pay and willingness to sell to elicit a supermodular capacity in a finite number of iterations.Received: 21 February 2003, Revised: 26 May 2004, JEL Classification Numbers: D81. Correspondence to: Robert G. ChambersThe authors thank J. Quiggin and an anonymous referee for comments that improved the paper.     

Efficient Insurance Contracts under Epsilon-Contaminated Utilities

This paper analyses the qualitative properties of optimal contracts when agents have multiple priors and are uncertainty averse in an infinite state space framework. The case of the epsilon-contamination of a given prior, a basic tool in robustness theory is fully developped. It is shown that if both agents have strictly concave utility index, then if the insurer is less uncertainty averse than the insured, he provides a full insurance contract above a deductible for high values of the loss.     

基于流管法的面积波及效率计算方法研究

中国已开发的大多数油田,经过多年的加密调整和注水开发,目前已处于高含水或高采出程度阶段,开采和稳产难度越来越大。因此,对注水开发油田进行水驱面积波及系数的研究意义重大。根据注水油田的基本特点,基于流管法建模基本原理,建立了五点法流管模型,利用BeckleyLeverett方程,结合单元分析法和流线积分法,对注水油田五点法井网面积波及效率的计算公式进行了详细推导,绘制并分析了面积波及系数和采出程度随时间的变化曲线。结果表明:当无流管突破时,注水油田的面积波及系数随时间的增加而线性增大;当主流管突破见水后,波及系数增大程度越来越慢,最后趋于平缓。当油田被注入水完全波及后,继续利用注水提高采收效果的作用很小,水驱效率明显降低。研究结果对于注水油田面积波及系数的求解及水驱动态开发规律的研究具有借鉴意义。     

LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS

This paper pursues the role of Laguerre series in the explicit valuation of contingent claims in general and Asian options in particular. Motivated by Dufresne (2000) , we study how they permit one to reduce these questions to computing moments. Two alternative such Laguerre reduction approaches are proposed and analyzed. Sufficient conditions for their validity are developed as a further novel feature; these are in terms of local growth measures for the payoff functions and the densities that the paper introduces for this purpose. Our methods are exemplified by considering the benchmark valuation of Asian options. Our explicit formulas for the negative moments of the integral of geometric Brownian motion in terms of theta functions are instrumental here. They have been derived in Schröder (2003c) building on work of Dufresne (2000) , and this paper now finally develops their pertinent computational aspects.     

复杂地形下大跨桁架多机接力整体吊装技术

以某选煤厂房栈桥桁架吊装为例,针对施工场地贯穿多条铁路干线、承载力不足等施工特点,制定桁架多机高空接力吊装方案,提出复杂地形下大跨桁架多机接力整体吊装技术,避免搭设施工平台,减少高空焊接作业,能够对复杂施工环境有很强的适用性.介绍了该技术的多机施工流程及换钩接力操作,对垂直吊装及水平运输两阶段进行有限元模拟,验证了更换吊点位置的合理性.方案经实施,有效解决了相应施工难点,为类似施工吊装提供参考.     

大型板坯连铸机钢包回转台安装技术

钢包回转台是现代连铸中应用最普遍的运载和承托钢包进行浇注的设备,通常设置于钢水接收跨与浇注跨柱列之间。本文主要探讨在生产状态下钢包回转套安装技术。     

Ambiguity on the insurer’s side: The demand for insurance

Empirical evidence suggests that ambiguity is prevalent in insurance pricing and underwriting, and that often insurers tend to exhibit more ambiguity than the insured individuals (e.g., Hogarth and Kunreuther, 1989). Motivated by these findings, we consider a problem of demand for insurance indemnity schedules, where the insurer has ambiguous beliefs about the realizations of the insurable loss, whereas the insured is an expected-utility maximizer. We show that if the ambiguous beliefs of the insurer satisfy a property of compatibility with the non-ambiguous beliefs of the insured, then optimal indemnity schedules exist and are monotonic. By virtue of monotonicity, no ex-post moral hazard issues arise at our solutions (e.g., Huberman et al., 1983). In addition, in the case where the insurer is either ambiguity-seeking or ambiguity-averse, we show that the problem of determining the optimal indemnity schedule reduces to that of solving an auxiliary problem that is simpler than the original one in that it does not involve ambiguity. Finally, under additional assumptions, we give an explicit characterization of the optimal indemnity schedule for the insured, and we show how our results naturally extend the classical result of Arrow (1971) on the optimality of the deductible indemnity schedule.     

Expected utility with uncertain probabilities theory

This paper introduces a model of decision making under ambiguity by extending the Bayesian approach to uncertain probabilities. In this model, preferences for ambiguity pertain directly to probabilities such that attitude toward ambiguity is defined as attitude toward mean-preserving spreads in probabilities—analogous to the Rothschild–Stiglitz risk attitude toward mean-preserving spreads in outcomes. The model refines the separations between tastes and beliefs, and between risk and ambiguity. These separations are crucial for the measurement of the degree of ambiguity and for the elicitation and characterization of attitudes toward ambiguity, thereby providing an empirically and experimentally applicable framework.