相关论文: Concerning life annuities
The paper discusses capital allocation using the Euler formula and focuses on the risk measures Value-at-Risk (VaR) and Expected shortfall (ES). Some new results connected to this capital allocation is known. Two examples illustrate that…
We determine the optimal strategies for purchasing term life insurance and for investing in a risky financial market in order to maximize the probability of reaching a bequest goal while consuming from an investment account. We extend…
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in…
We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividend strategy that depends on the past realization of financial…
Random-expiry options are nontraditional derivative contracts that may expire early based on a random event. We develop a methodology for pricing these options using a trinomial tree, where the middle path is interpreted as early expiry. We…
The aim of this article is to provide a systematic analysis of the conditions such that Fourier transform valuation formulas are valid in a general framework; i.e. when the option has an arbitrary payoff function and depends on the path of…
Existence and uniqueness of solutions to the multi-dimensional mean-field Libor market model (introduced by [7]) is shown. This is used as the basis for a numerical asset-liability management (ALM) model capable of calculating future…
It is well-known that the equations for a simple fluid can be cast into what is called their Lagrange formulation. We introduce a notion of a generalized Lagrange formulation, which is applicable to a wide variety of systems of partial…
The stability of income payments in a pooled annuity fund is studied. In those funds, members receive a fluctuating income depending on their experienced mortality in exchange for their pension savings. The focus is on describing the…
In this article, we investigate the behavior of long-term options. In many cases, option prices follow an exponential decay (or growth) rate for further maturity dates. We determine under what conditions option prices are characterized by…
Like density functions, period life-table death counts are nonnegative and have a constrained integral, and thus live in a constrained nonlinear space. Implementing established modelling and forecasting methods without obeying these…
Equity-linked securities with a guaranteed return become very popular in financial markets ether as investment instruments or life insurance policies. The contract pays off a guaranteed amount plus a payment linked to the performance of a…
This paper reviews the research on the impacts of alcohol taxation outcomes such as heavy drinking and mortality. Where data availability permits, reviewed studies are replicated and reanalyzed. Despite weaknesses in the majority of…
We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors. For our model, with realistic parameter choices, an annuity or individual fund requires approximately 20\%…
In this work we check the occurrence of the Azbel assumption of mortality within the framework of a bit string model for biological ageing. We reproduced the observed feature of linear correspondence between the fitting parameters of the…
In this paper, within the framework of uncertainty theory, the valuation of equity warrants is investigated. Different from the methods of probability theory, the equity warrants pricing problem is solved by using the method of uncertain…
This paper offers a financial economic perspective on the optimal time (and age) at which the owner of a Variable Annuity (VA) policy with a Guaranteed Living Withdrawal Benefit (GLWB) rider should initiate guaranteed lifetime income…
Probabilities is the English translation of the book Probabilit\'es Tome 1 and Tome 2. The mathematic content is authored by Prof. Jean-Yves Ouvrard. The English version has been done by his eldest son Dr. Xavier Ouvrard. In this first…
In this note we will discuss Euler's solution of the simple difference equation that he gave in his paper{\it ``De serierum determinatione seu nova methodus inveniendi terminos generales serierum"} \cite{E189} (E189:``On the determination…
The numbers of even and odd permutations with a given ascent number are investigated using an operator that was previously introduced by the author. Their difference is called a signed Eulerian number. By means of the operator the…