TUESDAY APRIL 28TH, 2020
WEDNESDAY APRIL 29TH, 2020
Abstract
Caroline HILLAIRET - Ramsey rule withe progressive utility in long term yield curves modeling
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial. Thus, after recalling some important properties on progressive utility, this paper first provides an extension of the notion of a consistent progressive utility to a consistent pair of progressive utilities of investment and consumption. An optimality condition is that the utility from the wealth satisfies a second order SPDE of HJB type involving the Fenchel-Legendre transform of the utility from consumption. This SPDE is solved in order to give a full characterization of this class of consistent progressive pair of utilities. An application of this results is to revisit the classical backward optimization problem in the light of progressive utility theory, emphasizing intertemporal-consistency issue. Then we study the dynamics of the marginal utility yield curve, and give example with backward and progressive power utilities.
Beatrice ACCIAIO - Learning dynamic generative models via causal optimal transport
José BLANCHET - Building a platform to help in some economic problems derived from covid 19
Jaye Kyung WOO - Optimal relativities in a modified bonus-malus system with long memory transition rules
In the classical Bonus-Malus System (BMS) in automobile insurance, the premium for the next year is adjusted according to the policyholder’s claim history (particularly frequency) in the previous year. Some variations of the classical BMS have been considered by taking more of the driver’s claim experience into account to better assess an individual’s risk. Nevertheless, we note that in practice it is common for a BMS to adopt transition rules according to the claim history for the past multiple years in countries such as Belgium, Italy, Korea, and Singapore. In this talk, we revisit a modified BMS which was briefly introduced in Lemaire (1995) and Pitrebois et al. (2003a). Specifically, such a BMS extends the number of Bonus-Malus (BM) levels due to an additional component in the transition rules representing the number of consecutive
Nora PANKRATZ - Climate chang and adaptation in global suuply-chain networks
This paper examines how firms adapt to climate-change risks resulting from their supplychain networks. Combining a large sample of global supplier-customer relationships with granular data on local temperatures and flooding incidents, we first document that the occurrence of climate shocks at affected supplier firms has both a large direct and indirect negative effect on earnings and revenues of suppliers and their customers.
Second, we show that customers are 10% to 20% more likely to terminate existing supplier-relationships when realized climate shocks at the supplier firms exceed ex-ante expected climate shocks. Further, customers subsequently switch to suppliers with lower heatwave and flooding exposure. Our results indicate that climate change affects the formation of global production networks.