Abstract
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.
Original language | English |
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Article number | 1081 |
Journal | Mathematics |
Volume | 8 |
Issue number | 7 |
DOIs | |
State | Published - 1 Jul 2020 |
Keywords
- Chen distribution
- Differential games
- Discounted equilibrium
- Equivalence principle
- Random time horizon
- Time until failure
- Weibull distribution