Related papers: Equity-Linked Life Insurances on Maximum of Severa…
Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew…
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 a Quantile Bayesian Vector Autoregression (QBVAR) to forecast real oil prices across different quantiles of the conditional distribution. The model allows predictor effects to vary across quantiles, capturing asymmetries that…
The main purpose of this work is to derive a partial differential equation for the reserves of life insurance liabilities subject to stochastic interest rates where the benefits and premiums depend directly on changes in the interest rate…
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
Mixed modeling of extreme values and random effects is relatively unexplored topic. Computational difficulties in using the maximum likelihood method for mixed models and the fact that maximum likelihood method uses available data and does…
In this paper, we study an optimal mean-variance investment-reinsurance problem for an insurer (she) under a Cram\'er-Lundberg model with random coefficients. At any time, the insurer can purchase reinsurance or acquire new business and…
This paper investigates the time-consistent mean-variance reinsurance-investment (RI) problem faced by life insurers. Inspired by recent findings that mortality rates exhibit long-range dependence (LRD), we examine the effect of LRD on RI…
We are concerned with the market-consistent valuation of lifelong health insurance products, which are subject to adjustments derived from the actuarial equivalence principle and driven by (medical) inflation. Such products are…
We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…
We study a portfolio selection problem in a continuous-time It\^o-Markov additive market with prices of financial assets described by Markov additive processes which combine L\'evy processes and regime switching models. Thus the model takes…
The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…
In this paper, we consider a dynamic asset pricing model in a cross-sectional economy with two firms where a controlling shareholder cannot divert output in one firm with perfect investor protection for minority shareholders and where he…
We show that the mixed causal-noncausal Vector Autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce closed-form formulas of forward and backward predictive…
In this paper, we consider the problem of experience rating within the classic Markov chain life insurance framework. We begin by establishing a link between mixed Poisson distributions and the problem of pricing group disability insurance…
We consider exchangeable Markov multi-state survival processes -- temporal processes taking values over a state-space$\mathcal{S}$ with at least one absorbing failure state $\flat \in \mathcal{S}$ that satisfy natural invariance properties…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance…