Resource Exploitation in a Stochastic Horizon Under Two Parametrics Interpretations

Resource Exploitation in a Stochastic Horizon Under Two Parametrics Interpretations

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In this talk, we present a two-player extraction game where the random terminal times follow (different) heavy-tailed distributions which are not necessari!y compactly supported. Besides, we de!ve on 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 lntensities of the extraction for each player under different phases of the lifetimes of their respective machineries.

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