Related papers: State Space Vasicek Model of a Longevity Bond
This study proposes a linear-rational joint survival mortality model based on the Wishart process. The Wishart process, which is a stochastic continuous matrix affine process, allows for a general dependency between the mortality…
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random)…
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…
Credit risk in the China's bond market has become increasingly evident, creating a progressively escalating risk of default for credit bond investors. Given the current incomplete and inaccurate bond information disclosure, timely tracking…
We introduce a random forest approach to enable spreads' prediction in the primary catastrophe bond market. We investigate whether all information provided to investors in the offering circular prior to a new issuance is equally important…
In this paper, we price the zero-coupon bond of the extended Cox-Ingersoll-Ross model by a Dyson type formula established in one of the authors' paper Jin, Peng and Schelllhorn (2016) using Malliavin calculus. This formula provides a fast…
This work introduces a Bayesian smoothing approach for the joint graduation of mortality rates across multiple populations. In particular, dynamical linear models are used to induce smoothness across ages through structured dependence,…
We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our…
We develop Bayesian state space methods for modelling changes to the mean level or temporal correlation structure of an observed time series due to intermittent coupling with an unobserved process. Novel intervention methods are proposed to…
This book handles the fatty liver disease from the bio-statistical point of view . It discusses the disease process in the simple general form of health-disease-death multi-states model . Continuous Time Markov Chains are used to estimate…
\noindent The modal age at death is an increasingly used measure for understanding longevity and mortality patterns. However, existing estimation methods focus on point estimates, overlooking the inherent variability and uncertainty in…
Stochastic volatility models have existed in Option pricing theory ever since the crash of 1987 which violated the Black-Scholes model assumption of constant volatility. Heston model is one such stochastic volatility model that is widely…
A unified analytical pricing framework with involvement of the shot noise random process has been introduced and elaborated. Two exactly solvable new models have been developed. The first model has been designed to value options. It is…
I present a simple numerical model based on iteratively updating subgroups of a population, individually modeled by nonnegative real numbers, by a constant decay factor; however, at each iteration, one group is selected to instead be…
The Bass Local Volatility Model (Bass-LV), as studied in [Conze and Henry-Labordere, 2021], stands out for its ability to eliminate the need for interpolation between maturities. This offers a significant advantage over traditional LV…
The present study aims to determine the lifetime prognosis of highly durable nondestructive one-shot devices (NOSD) units under a step-stress accelerated life testing (SSALT) experiment applying a cumulative risk model (CRM). In an SSALT…
We propose a unifying framework for the pricing of debt securities under general time-inhomogeneous short-rate diffusion processes. The pricing of bonds, bond options, callable/putable bonds, and convertible bonds (CBs) is covered. Using…
We study the persistence phenomenon in a socio-econo dynamics model using computer simulations at a finite temperature on hypercubic lattices in dimensions up to 5. The model includes a ` social\rq local field which contains the…
This paper addresses the problem of determining the optimal time for an individual to convert retirement savings into a lifetime annuity. The individual invests their wealth into a dividend-paying fund that follows the dynamics of a…
A Bayesian analytics framework that precisely quantifies uncertainty offers a significant advance for financial risk management. We develop an integrated approach that consistently enhances the handling of risk in market volatility…