http://hdl.handle.net/2330/3 Search the Channel search http://bora.nhh.no:8080/simple-search http://hdl.handle.net/2330/1538 Title: Optimal Risk-Sharing and Deductables in Insurance <br/> <br/>Authors: Aase, Knut K. <br/> <br/>Abstract: Risk-sharing in insurance is analyzed, with a view towards explaining the prevalence of deductibles. First we introduce, in a modern setting, the main concepts of the theory of risk-sharing in a group of agents. This theory we apply to the risk-sharing problem between an insurer and an insurance customer. We motivate the development through simple examples, illustrating some of the subtle points of this theory. In order to deduce deductibles endogenously, not explained in the neoclassical model, we separately introduce (i) the insurable asset as a decision variable, (ii) administrative costs, and (iii) moral hazard, and illustrate by examples. Sat, 29 Oct 2005 22:58:59 GMT http://hdl.handle.net/2330/1537 Title: On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach <br/> <br/>Authors: Lensberg, Terje; Schenk-Hoppé, Klaus Reiner <br/> <br/>Abstract: This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic programming. We find that investment strategies which optimize long-term performance can emerge in markets populated by unsophisticated investors. Regardless whether the market is complete or incomplete and whether states are i.i.d. or Markov, the Kelly rule is obtained as the asymptotic outcome. With price-dependent rather than just state-dependent investment strategies, the market portfolio plays an important role as a protection against severe losses in volatile markets. Tue, 28 Nov 2006 22:58:59 GMT http://hdl.handle.net/2330/1536 Title: Supply Chain Optimization in Pulp Distribution using a Rolling Horizon Solution Approach <br/> <br/>Authors: Bredström, David; Rönnqvist, Mikael <br/> <br/>Abstract: In this paper we consider a combined supply chain and ship routing problem for a large pulp producer in Scandinavia. The problem concerns the distribution of pulp to customers, with route scheduling of ships as a central part of modeling. It is an operative planning problem with daily ship routing decisions over a 40 days period. The pulp supply is determined by fixed production plans, and the transport flows and storages are modeled with the requirement to satisfy the demand in a cost-optimal way. We develop a mixed integer programming model with binary variables for route usage of a vessel. The problem is solved with a heuristic solution method, based on a rolling time horizon and a standard branch and bound algorithm. We apply the heuristic on problem instances with real world data, and compare results from reduced problem instances with the results from an exact branch and bound search. The computational experiments indicate that real world problems are solvable with the solution method and that it in many cases can be very efficient. Sat, 29 Oct 2005 22:58:59 GMT http://hdl.handle.net/2330/1535 Title: The rise of individual performance pay <br/> <br/>Authors: Kvaløy, Ola; Olsen, Trond E. <br/> <br/>Abstract: Why does individual performance pay seem to prevail in human-capital-intensive industries where teamwork is so common? We present a model that aims to explain this. In a repeated game model of relational contracting, we analyze the conditions for implementing peerdependent incentive regimes when agents possess indispensable human capital. We show that the larger the share of values that the agents can hold-up, the lower is the implementable degree of peer-dependent incentives. In a setting with team effects - complementary tasks and peer pressure, respectively - we show that while group-based incentives are optimal if agents are dispensable, it may be costly, and in fact suboptimal, to provide team incentives once the agents become indispensable. Wed, 28 Jun 2006 22:58:59 GMT