We examine a problem of demand for insurance indemnification, when the insured is sensitive to ambiguity and behaves according maxmin expected utility model Gilboa Schmeidler (J. Math. Econ. 18:141–153, 1989), whereas insurer (risk-averse or risk-neutral) expected-utility maximiser. characterise optimal indemnity functions both with without customary ex ante no-sabotage requirement on feasible ...

In an expected reachability-time game (ERTG) two players, Min and Max, move a token along the transitions of a probabilistic timed automaton, so as to minimise and maximise, respectively, the expected time to reach a target. These games are concurrent since at each step of the game both players choose a timed move (a time delay and action under their control), and the transition of the game is ...

Increasing popularity of online auctions and the associated frauds have drawn the attention of many researchers. It is found that most of the auction sites prefer English auction to other auction mechanisms. The ease of adopting multiple fake identities over the Internet nourishes shill bidding by fraudulent sellers in English auction. In this paper we derive an equilibrium bidding strategy to ...

Portfolio allocation theory has been heavily influenced by a major contribution of Harry Markowitz in the early fifties: the mean-variance approach. While there has been a continuous line of works in on-line learning portfolios over the past decades, very few works have really tried to cope with Markowitz model. A major drawback of the mean-variance approach is that it is approximation-free onl...

In this paper, we focus on the optimal software testing/maintenance problem considered in Rinsaka and Dohi (2004), and develop a stochastic model in discrete operation circumstance, under the difference between the software testing environment and the operational environment can be characterized by an environment parameter. More precisely, the total expected software cost is formulated via the ...

Blackwell (1951, 1953) proposes an informativeness ranking of experiments: Experiment I is more Blackwell-informative than Experiment II if and only if the value of experiment I is higher than that of experiment II for all expected-utility maximizers. Under commitment and reduction, our main theorem shows that Blackwell equivalence holds for all convex and strongly monotone preferences, i.e., t...