相关论文: Concerning life annuities
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…
We define the $m$th-order Eulerian numbers with a combinatorial interpretation. The recurrence relation of the $m$th-order Eulerian numbers, the row generating function and the row sums of the $m$th-order Eulerian triangle are presented. We…
New mathematical formulation of liquidity preference theory is suggested. On the base of comparison between suggested model and real prices paradoxical conclusion could be derived. The whole yield curve could be described only on the base…
An important but understudied question in economics is how people choose when facing uncertainty in the timing of events. Here we study preferences over time lotteries, in which the payment amount is certain but the payment time is…
This note is a complement to the paper by Eberlein, Kabanov, and Schmidt on the asymptotic of the ruin probability in a Sparre Andersen non-life insurance model with investments a risky asset whose price follows a geometric L\'evy process.…
We consider the holder of an individual tontine retirement account, with maximum and minimum withdrawal amounts (per year) specified. The tontine account holder initiates the account at age 65, and earns mortality credits while alive, but…
We develop extensions to auction theory results that are useful in real life scenarios. 1. Since valuations are generally positive we first develop approximations using the log-normal distribution. This would be useful for many finance…
We study the design of an auction for an income-generating asset such as an intellectual property license. Each bidder has a signal about his future income from acquiring the asset. After the asset is allocated, the winner's income from the…
Variable annuities (VA) are popular insurance products. VAs provides the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if returns of underlying funds are high…
We consider different generalizations of the Euler formula and discuss the properties of the associated trigonometric functions. The problem is analyzed from different points of view and it is shown that it can be formulated in a natural…
We present a thorough empirical study on real interest rates by also including risk aversion through the introduction of the market price of risk. With the view of complex systems science and its multidisciplinary approach, we use the…
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the…
We analyze the data of the Italian and U.S. futures on the stock markets and we test the validity of the Continuous Time Random Walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
This study uses patent renewal information to estimate private value of patents by technology and ownership status. Patent value refers to the economic reward that the inventor extracts from the patent by making, using or selling an…
This is a translation from the Latin of Euler's "Problema algebraicum de inveniendis quatuor numeris ex datis totidem productis uniuscuiusque horum numerorum in summas trium reliquorum", Opera Postuma 1 (1862), 282-287, reprinted in…
Hedging methods to mitigate the exposure of variable annuity products to market risks require the calculation of market risk sensitivities (or "Greeks"). The complex, path-dependent nature of these products means these sensitivities…
The determinants of the velocity of money have been examined based on life-cycle hypothesis. The velocity of money can be expressed by reciprocal of the average value of holding time which is defined as interval between participating…
The aim of this note is to provide a simple proof of some well-known identities and recurrences relating classical Bernoulli and Euler numbers by using the Abel sum of the divergent series $\sum_{n=0}^\infty (-1)^{n} (n+1)^k$, $k$ a…
``In this paper we give the history of Leonhard Euler's work on the pentagonal number theorem, and his applications of the pentagonal number theorem to the divisor function, partition function and divergent series. We have attempted to give…