Related papers: Options to Receive Retirement Gratuity
The guaranteed minimum withdrawal benefit (GMWB) rider, as an add on to a variable annuity (VA), guarantees the return of premiums in the form of peri- odic withdrawals while allowing policyholders to participate fully in any market gains.…
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to reduce capital and reserve requirements…
The rapid development and deployment of vehicle technologies offer opportunities to re-think the way traffic is managed. This paper capitalizes on vehicle connectivity and proposes an economic instrument and corresponding cooperative…
Suppliers (including companies and individual prosumers) may wish to protect their private information when selling items they have in stock. A market is envisaged where private information can be protected through the use of differential…
Remittances provide an essential connection between people working abroad and their home countries. This paper considers these transfers as a measure of preferences revealed by the workers, underlying a ranking of countries around the…
We consider schemes for obtaining truthful reports on a common but hidden signal from large groups of rational, self-interested agents. One example are online feedback mechanisms, where users provide observations about the quality of a…
Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of an equity fund. In this paper, we consider the valuation of…
Punishment is a popular tool when governing commons in situations where free riders would otherwise take over. It is well known that sanctioning systems, such as the police and courts, are costly and thus can suffer from those who free ride…
The value of an American option is the maximized value of the discounted cash flows from the option. At each time step, one needs to compare the immediate exercise value with the continuation value and decide to exercise as soon as the…
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and who can purchase a reversible life annuity. The surrender charge of a life annuity is a proportion of its…
We propose a new framework to value employee stock options (ESOs) that captures multiple exercises of different quantities over time. We also model the ESO holder's job termination risk and incorporate its impact on the payoffs of both…
An arbitrage strategy allows a financial agent to make certain profit out of nothing, i.e., out of zero initial investment. This has to be disallowed on economic basis if the market is in equilibrium state, as opportunities for riskless…
We study a continuous time contracting model in which a principal hires a risk averse agent to manage a project over a finite horizon and provides sequential payments whose timing is endogenously determined. The resulting nonzero-sum…
In countries with a growing number of elderly and a shrinking workforce, one of which is Russia, it becomes impossible to maintain a solidary pension system and a need to switch to a more stable funded system appears. This paper analyzes…
This paper proposes a two-stage pricing strategy for nondurable (such as typical electronics) products, where retail price is cut down at certain time points of the product lifecycle. We consider learning effect of electronic products that,…
Software companies and startups often follow the idea of flourishing happiness among developers. Perks, playground rooms, free breakfast, remote office options, sports facilities near the companies, company retreats, you name it. The…
When a new product or technology is introduced, potential consumers can learn its quality by trying the product, at a risk, or by letting others try it and free-riding on the information that they generate. We propose a dynamic game to…
In this work we present a new family of options (mirror options) specially crafted to satisfy the necessities of aggressive speculators. The main ideas behind mirror options are: 1) A product that can be adjusted by the holder to agree with…
This paper studies if firms pay different types of bribes, and if corrupt bureaucrats have perfect information about resources of bribe-paying firms. We construct a model of corruption that allows for multiple informational scenarios in a…
It is known that the decision to purchase an annuity may be associated to an optimal stopping problem. However, little is known about optimal strategies, if the mortality force is a generic function of time and if the `subjective' life…