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Equalization reserves for natural catastrophes and shareholder value: a simulation study

Dacorogna, Michel ; Albrecher, Hansjörg ; Moller, Michael ; Sahiti, Suzane

In: European Actuarial Journal, 2013, vol. 3, no. 1, p. 1-21

Modelling markets dynamics : minority games and beyond

Challet, Damien ; Zhang, Yi-Cheng (Dir.) ; Dacorogna, Michel (Codir.)

Thèse de doctorat : Université de Fribourg : 2000 ; no 1303.

Starting from the El Farol's bar problem, we introduce the minority game, an extremely simple model of competition between adaptive agents. We study its properties, and find that it displays a phase transition with symmetry breaking. An adequate mathematical formalism is introduced and reveals the spin glass nature of the model. We prove that available information is a Lyapunov function for this...