相关论文: Concerning life annuities
This is the classical monograph on the combinatorial study of Eulerian polynomials, published in 1970. It has been retyped in TeX and made available on the web with the kind permission of Springer-Verlag. This on-line version has an ouput…
In this paper Euler shows how, if we have recursive functions f,g,h and an infinite sequence A,B,C,... which satisfies fA=gB+hC, f'B=g'C+h'D, f''C=g''D+h''E, f'''D=g'''E+h'''F, etc., where the primes denote an index not a derivative, then…
We find an enumeration formula for a $(t,q)$-Euler number which is a generalization of the $q$-Euler number introduced by Han, Randrianarivony, and Zeng. We also give a combinatorial expression for the $(t,q)$-Euler number and find another…
Variable annuities, as a class of retirement income products, allow equity market exposure for a policyholder's retirement fund with electable additional guarantees to limit the downside risk of the market. Management fees and guarantee…
In this paper, we provide a comprehensive cross-country validation study of compositional mortality modeling and forecasting methods. Thus, we consider two one-to-one transformations: the cumulative distribution function and the centered…
Characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numerical computations are required to solve it. Strong efforts…
Pricing extremely long-dated liabilities market consistently deals with the decline in liquidity of financial instruments on long maturities. The aim is to quantify the uncertainty of rates up to maturities of a century. We assume that the…
Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no-arbitrage price of…
This note provides truncated formulae with explicit error terms to compute Euler products over primes in arithmetic progressions of rational fractions. It further provides such a formula for the product of terms of the shape $F(1/p, 1/p^s)$…
In this paper we construct a new q-Euler numbers and polynomials. By using these numbers and polynomials, we give the interesting formulae related to alternating sums of powers of consecutive q-integers following an idea due to Euler.
We revisit two classical problems: the determination of the law of the underlying with respect to a risk-neutral measure on the basis of option prices, and the pricing of options with convex payoffs in terms of prices of call options with…
We calculate the density and expectation for the number of lineages in a reconstructed tree with $n$ extant species. This is done with conditioning on the age of the tree as well as with assuming a uniform prior for the age of the tree.
The aim of this work is to evaluate the cheapest superreplication price of a general (possibly path-dependent) European contingent claim in a context where the model is uncertain. This setting is a generalization of the uncertain volatility…
In this paper, we review pricing of variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of…
At a crossroads of calculus and combinatorics, the generating function of secant and tangent numbers (Euler numbers) provides enumeration of alternating permutations. In this article, we present a new refinement of Euler numbers to answer…
In this paper we propose a new method for probabilistic forecasting of electricity prices. It is based on averaging point forecasts from different models combined with expectile regression. We show that deriving the predicted distribution…
One of the risks derived from selling long term policies that any insurance company has, arises from interest rates. In this paper we consider a general class of stochastic volatility models written in forward variance form. We also deal…
The history of the elastica is examined through the works of various contributors, including those of Jacob and Daniel Bernoulli, since its first appearance in a 1690 contest on finding the profile of a hanging flexible cord. Emphasis will…
Gompertz's law tells us that for humans above the age of 35 the death rate increases exponentially with a doubling time of about 10 years. Here, we show that the same law continues to hold even for ages over 100. Beyond 106 there is so far…
Suppose you have one unit of stock, currently worth 1, which you must sell before time $T$. The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, the expected discounted value we get when we sell will be 1.…