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BIMSA Digital Economy Lab Seminar
BIMSA Digital Economy Lab Seminar
Bi-revealed utilities in a defaultable universe: A new point of view on consumption
Bi-revealed utilities in a defaultable universe: A new point of view on consumption
Organizers
Johansson Anders
,
Ruize Gao
,
Liyan Han
,
Zhen Li
,
Jin Liu
,
Fei Long
,
Dongbo Shi
,
Ke Tang
,
Xing Yan
,
Qi Zhang
Speaker
Time
Friday, May 29, 2026 3:00 PM - 4:00 PM
Venue
A3-2-303
Online
Zoom 435 529 7909
(BIMSA)
Abstract
This paper studies the inverse problem of bi-revealed dynamic utilities in a defaultable universe. More specifically, it places the framework of dynamic, or forward, utilities in a setting where the reference filtration is progressively enlarged by an exogenous default time. Through this enlargement-of-filtration approach, the authors translate bi-revealed utilities in the defaultable universe into a pair of utilities in the reference universe. This leads to the main economic interpretation of the paper: the consumption process can be viewed as a reserve process accumulated to finance possible losses at the default time.
Speaker Intro
Qiqi Gu is a PhD student at BIMSA and UCAS. Her research interests include digital economy, asset pricing and financial mathematics.