On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options

DOI10.1016/J.JEDC.2015.07.004MaRDI QIDQ1657477zbMATH OpenOpenAlexFDO

Authors Christian-Oliver Ewald, Marc Yor

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2015.07.004

zbMATH Keywords

increasing riskinequalitypeacockspoverty measures

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Welfare economics (91B15)

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Cites work

• A theory of (relative) discounting
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Asian and Australian options: a common perspective
• Generalized sweeping-out and probability
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Hyperbolic discounting and the standard model: eliciting discount functions
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• Long-Term Risk: An Operator Approach
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Optimal control of inequality under uncertainty
• Peacocks and associated martingales, with explicit constructions
• Pricing growth-rate risk
• Shock elasticities and impulse responses
• Stochastic differential equations. An introduction with applications.
• Stochastic Dominance and Expected Utility: Survey and Analysis
• SUSTAINABLE YIELDS IN FISHERIES: UNCERTAINTY, RISK-AVERSION, AND MEAN-VARIANCE ANALYSIS
• The Existence of Probability Measures with Given Marginals
• The wealth distribution in Bewley economies with capital income risk

Cited in

(7)

• From poverty measurement to the measurement of downside risk
• Monotone convex order for the McKean-Vlasov processes
• Weak decreasing stochastic order
• On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
• Confidence sets for dynamic poverty indexes
• Pricing Asian options with stochastic convenience yield and jumps
• A potential-based construction of the increasing supermartingale coupling

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