Resource Exploitation in a Stochastic Horizon under Two Parametric Interpretations

Autor:	José Daniel López-Barrientos, Ekaterina Viktorovna Gromova, Ekaterina Sergeevna Miroshnichenko
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	differential games random time horizon time until failure discounted equilibrium weibull distribution chen distribution Mathematics QA1-939
Zdroj:	Mathematics, Vol 8, Iss 7, p 1081 (2020)
Druh dokumentu:	article
ISSN:	2227-7390
DOI:	10.3390/math8071081
Popis:	This work presents a two-player extraction game where the random terminal times follow (different) heavy-tailed distributions which are not necessarily compactly supported. Besides, we delve into the implications of working with logarithmic utility/terminal payoff functions. To this end, we use standard actuarial results and notation, and state a connection between the so-called actuarial equivalence principle, and the feedback controllers found by means of the Dynamic Programming technique. Our conclusions include a conjecture on the form of the optimal premia for insuring the extraction tasks; and a comparison for the intensities of the extraction for each player under different phases of the lifetimes of their respective machineries.
Databáze:	Directory of Open Access Journals
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