Related papers: State Space Vasicek Model of a Longevity Bond
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no…
The state-of-the-art proposes Life Care Annuities, that have been recently designed as variable annuity contracts with Long-Term Care payouts and Guaranteed Lifelong Withdrawal Benefits. In this paper, we propose more general features for…
We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of our planet. This simple dynamic model allows for derivation…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors.…
Competing risks occur in survival analysis when multiple causes of death are present. They play a prominent role in several domains extending beyond biostatistics to encompass epidemiology, actuarial sciences, and reliability theory. This…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…
Latent autoregressive processes are a popular choice to model time varying parameters. These models can be formulated as nonlinear state space models for which inference is not straightforward due to the high number of parameters. Therefore…
In a recent work, a new numerical method (the lifespan method) has been introduced to study the critical properties of epidemic processes on complex networks [Phys. Rev. Lett. \textbf{111}, 068701 (2013)]. Here, we present a detailed…
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit defaul, under partial information. We consider the case when the…
We study inference on the optimal welfare in a policy learning problem and propose reporting a lower confidence band (LCB). A natural approach to constructing an LCB is to invert a one-sided t-test based on an efficient estimator for the…
Survival models are a popular tool for the analysis of time to event data with applications in medicine, engineering, economics, and many more. Advances like the Cox proportional hazard model have enabled researchers to better describe…
Predicting the evolution of mortality rates plays a central role for life insurance and pension funds.Various stochastic frameworks have been developed to model mortality patterns taking into account the main stylized facts driving these…
We study an open-boundary version of the on-off zero-range process introduced in Hirschberg et al. [Phys. Rev. Lett. 103, 090602 (2009)]. This model includes temporal correlations which can promote the condensation of particles, a situation…
Likelihood-free inference (LFI) has been successfully applied to state-space models, where the likelihood of observations is not available but synthetic observations generated by a black-box simulator can be used for inference instead.…
Data on hundreds of variables related to individual consumer finance behavior (such as credit card and loan activity) is routinely collected in many countries and plays an important role in lending decisions. We postulate that the detailed…
We study how nonlinear, state-dependent health dynamics shape economic behavior, inequality, and the evaluation of disability insurance at older ages. Using English panel data, we construct a continuous health index and estimate its…
When the initial state of a quantum mechanical system is an excited state, then it is expected that the occupation, or survival, probability of that state will decrease. This is studied numerically within the Bixon-Jortner model, which was…
We consider an individual or household endowed with an initial capital and an income, modeled as a deterministic process with a continuous drift rate. At first, we model the discounting rate as the price of a zero-coupon bond at zero under…