Improving the Risk Concept: A Revision of Arrow-Pratt Theory in the Context of Controlled Dynamic Stochastic Environments

In the literature on risk, one generally assume that uncertainty is uniformly distributed over the entire working horizon, when the absolute risk-aversion index is negative and constant. From this perspective, the risk is totally exogenous, and thus independent of endogenous risks. The traditional measures of risk-aversion are generally too weak for making comparisons between risky situations. This can be highlighted in concrete problems in finance and insurance, context for which the Arrow-Pratt measures of risk-aversion give ambiguous results (Ross 1981). We improve the Arrow-Pratt approach (1964, 1971a, 1971b), which takes into account only attitudes towards small exogenous risks, by integrating in the analysis potentially high endogenous risks that are under the control of the agent. Based on multiple theoretical and empirical arguments, this new approach offers an elegant study of the close relationship between behavior, attitude and perceived risk.Endogenous risk-aversion, adaptive risk management, optimal risk-aversion threshold, excessive risk-averse behavior, risk perception, changing risk behavior.

Optimal Feedback Control Rules Sensitive to Controlled Endogenous Risk-Aversion

The objective of this paper is to correct and improve the results obtained by Van der Ploeg (1984a, 1984b) and utilized in the literature related to feedback stochastic optimal control sensitive to constant exogenous risk-aversion (Karp 1987; Whittle 1989, 1990; Chow 1993, amongst others). More realistic, the proposed approach deals with endoge- nous risks that are under the control of the decision-maker. It has strong implications on the policy decisions adopted by the decision-maker during the entire planning horizon.Controlled stochastic environment, rational decision-maker, adaptive control, optimal path, feedback optimal strategy, endogenous risk-aversion, dynamic active learning.Controlled stochastic environment, rational decision-maker, adaptive control, optimal path, feedback optimal strategy, endogenous risk-aversion, dynamic active learning.

Improving the Effort Concept: A Revision of the Traditional Approach in the Context of Controlled Dynamic Stochastic Environments

The objective of this paper is to re-evaluate the attitude to effort of a risk-averse decision- maker in an evolving environment. In the classical analysis, the space of efforts is generally discretized. More realistic, this new approach employes a continuum of effort levels. The pres- ence of multiple possible efforts and performance levels provide a better basis for explaining real economic phenomena. In the context of a principal-agent relationship, not only the incentives of the Principal can determine the private agent to exert a good effort, but also the evolution of the dynamic system. The dynamic incentives can be ineffective when the environment does not sufficiently incite the agent to allocate effort. This possible scenario explains why some efficient strategic incentive-compatible constraints that cover the entire period of contract do not generally exist. The proposed approach offers an elegant study of the close relationship between behavior, attitude and effort allocation.Rational decision-maker, endogenous dynamic learning, adaptive effort management, optimal effort threshold, effort aversion, excessive effort behavior.

Nash Equilibrium Strategies in Discrete-Time Finite-Horizon Dynamic Games with Risk-and Effort-Averse Players

The objective of this paper is to re-examine the risk-and effort attitude in the context of strategic dynamic interactions stated as a discrete-time finite-horizon Nash game. The analysis is based on the assumption that players are endogenously risk-and effort-averse. Each player is characterized by distinct risk-and effort-aversion types that are unknown to his opponent. The goal of the game is the optimal risk-and effort-sharing between the players. It generally depends on the individual strategies adopted and, implicitly, on the the players' types or characteristics.Dynamic Nash game, optimal path, closed-loop control, endogenous risk-and effort-aversion, adaptive risk-and effort management, optimal risk-and effort-sharing.

Nuclear Deformation Effects in the Cluster Radioactivity

We investigate the influence of the nuclear deformation on the decay rates of some cluster emission processes. The interaction between the daughter and the cluster is given by a double folding potential including quadrupole and hexadecupole deformed densities of both fragments. The nuclear part of the nucleus-nucleus interaction is density dependent and at small distances a repulsive core in the potential will occur. In the frame of the WKB-approximation the assault frequency of the cluster will depend on the geometric properties of the potential pocket whereas the penetrability will be sensitive to changes in the barrier location. The results obtained in this paper point out that various combinations of cluster and daughter deformations may account for the measured values of the decay rate.T he decay rather are however more sensitive to the changes in the daughter deformation due to the large mass asymmetry of the process.Comment: 11 pages, 6 figure

Nonparametric Estimation of the Fractional Derivative of a Distribution Function

We propose an estimator for the fractional derivative of a distribution function. Our estimator, based on finite differences of the empirical distribution function generalizes the estimator proposed by Maltz for the nonnegative real case. The asymptotic bias, variance and the consistency of the estimator are studied. Finally, the optimal choice for the ''smoothing parameter'' proves that even in the fractional case, the Stone's rate of convergence is achieved.fractional derivative; nonparametric estimation; distribution function; generalized differences

Simulating Supersymmetry with ISAJET 7.0/ ISASUSY 1.0

We review the physics assumptions and input used in ISAJET~7.0 / ISA\-SUSY~1.0 that are relevant for simulating fundamental processes within the framework of the Minimal Supersymmetric Standard Model (MSSM) at $p\bar p$ and $pp$ colliders. After a brief discussion of the underlying MSSM framework, we discuss event simulation and list the sparticle production processes and decay modes that have been incorporated into our calculations. We then describe how to set up and run an ISAJET / ISASUSY job and the user input and output formats. The ISAJET program is sufficiently flexible that some non-minimal supersymmetry scenarios may be simulated as well. Finally, plans for future upgrades which include the extension to $e^+ e^-$ collisions, are listed.Comment: 17 pages, FSU-HEP-930329 UH-511-764-9

NA62 Grid Monte Carlo Production Tools

The NA62 Grid Interface for Monte Carlo production and its related system components are pre- sented. This note is intended as a detailed description of the system for administration purposes, and as a user’s manual for Grid production management