We develop a continuous-time entry-deterrence game in which market demand evolves according to the Chan-Karolyi-Longstaff-Sanders (CKLS) stochastic differential equation, allowing mean reversion and state-dependent volatility. An incumbent with privately known strength strategically chooses advertising and promotional...
We develop a stochastic-control and mean field game framework for catastrophe insurance under stochastic replacement-cost risk. Insurer surplus follows a controlled jump diffusion in which catastrophe losses are scaled by an exogenous mean-reverting replacement-cost factor and attenuated through physical hedging. We es...
Paramahansa Pramanik, Michael Bowdin· Mathematics· 0 citations
In this paper we construct a dynamic entry deterrence game in which market demand follows the Chan-Karolyi-Longstaff-Sanders (CKLS) stochastic differential equation (SDE). The incumbent firm, whose true strength is privately known, uses advertising and promotional expenditures strategically to shape the entrant’s belie...
M. Issah, Paramahansa Pramanik· SN Business & Economics· 0 citations
In this paper we construct a dynamic entry deterrence game in which market demand follows the Chan-Karolyi-Longstaff-Sanders (CKLS) stochastic differential equation (SDE). The incumbent firm, whose true strength is privately known, uses advertising and promotional expenditures strategically to shape the entrant’s belie...
M. Issah, Paramahansa Pramanik· SN Business & Economics· 0 citations
We study dynamic physical hedging for insurers exposed jointly to catastrophe losses and stochastic reconstruction costs. Surplus evolves as a controlled jump diffusion whose loss amplitude combines marked catastrophe severity, an exogenous mean-reverting cost factor, and endogenous mitigation. We establish well-posedn...
Paramahansa Pramanik, Michael Bowdin· 0 citations
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