相关论文: Concerning life annuities
Age-specific mortality rates are often disaggregated by different attributes, such as sex, state, ethnic group and socioeconomic status. In making social policies and pricing annuity at national and subnational levels, it is important not…
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options and we compute their non-trivial scaling limit for a vanishing price impact which is inversely…
We study the modelling and valuation of surrender and other behavioural options in life insurance and pension. We place ourselves in between the two extremes of completely arbitrary intervention and optimal intervention by the policyholder.…
Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solutions for the price of these options have appeared in the…
We review Euler's idea on the Gammafunction. We will explain, how Euler obtained them and how Euler's ideas anticipate more modern approaches and theories. Furthermore, some questions asked by Euler are answered.
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…
The generalized Euler number E_{n|k} counts the number of permutations of {1,2,...,n} which have a descent in position m if and only if m is divisible by k. The classical Euler numbers are the special case when k=2. In this paper, we study…
Long term investment is one of the major investment strategies. However, calculating intrinsic value of some company and evaluating shares for long term investment is not easy, since analyst have to care about a large number of financial…
This paper descibes a new method of calculating the mean duration and mean age of onset of a chronic disease from incidence and mortality rates. It is based on an ordinary differential equation resulting from a simple compartment model.…
People often face trade-offs between costs and benefits occurring at various points in time. The predominant discounting approach is to use the exponential form. Central to this approach is the discount rate, a unique parameter that…
The classical Luria-Delbr\"uck model for fluctuation analysis is extended to the case where cells can either divide or die at the end of their generation time. This leads to a family of probability distributions generalizing the…
Various types of structures that enable a group of individuals to pool their mortality risk have been proposed in the literature. Collectively, the structures are called pooled annuity funds. Since the pooled annuity funds propose different…
We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade…
The optimal age that a retiree claims social security retirement benefits is in general a complicated function of many factors. However, if the beneficiary's finances and health are not the constraining factors, it is possible to formally…
This is a translation from the Latin original, "De valoribus integralium a termino variabilis x=0 usque ad x=infinity extensorum" (1781). This is E675 in the Enestrom index. Euler wants to find the location of the end point of a clothoid, a…
A variable annuity is an equity-linked financial product typically offered by insurance companies. The policyholder makes an upfront payment to the insurance company and, in return, the insurer is required to make a series of payments…
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)…
We study the distribution of primes from a topological viewpoint. Certain conjecture is introduced, and we show that it is equivalent to the Riemann Hypothesis.
Considered a pair of random lifetimes whose dependence is described by a Time Transformed Exponential model, we provide analytical expressions for the distribution of their sum. These expressions are obtained by using a representation of…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…