相关论文: Concerning life annuities

A possibly immortal agent tries to maximise its summed discounted rewards over time, where discounting is used to avoid infinite utilities and encourage the agent to value current rewards more than future ones. Some commonly used discount…

In many cohorts (such as the UK Biobank) on which Mendelian Randomization studies are routinely performed, data on participants' longevity is inadequate as the majority of participants are still living. To nevertheless estimate effects on…

Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool…

We introduce and analyse a simple probabilistic model of article production and citation behavior that explicitly assumes that there is no decline in citability of a given article over time. It makes predictions about the number and age of…

In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pricing tool for European-style claims…

We consider a continuous-time financial market with no arbitrage and no transactions costs. In this setting, we introduce two types of perpetual contracts, one in which the payoff to the long side is a fixed function of the underlyers and…

We consider the insurance company as a physical system which is immersed in its environment (the financial market). The insurer company interacts with the market by exchanging the money through the payments for loss claims and receiving the…

Given a finite set of European call option prices on a single underlying, we want to know when there is a market model which is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a…

In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many important aspects that influence the…

The aim of this paper is to study the construction of prospective mortality tables from a low number of persons subjected to risk. The presented models are the Lee-Carter and log-Poisson methods respectively. The low number of people…

In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption…

Translated from the Latin original, "Observationes generales circa series, quarum termini secundum sinus vel cosinus angulorum multiplorum progrediuntur" (1777). E655 in the Enestrom index. Euler looks at the binomial expansion $(1+x)^n$…

In the paper, the author elementarily unifies and generalizes eight identities involving the functions $\frac{\pm1}{e^{\pm t}-1}$ and their derivatives. By one of these identities, the author establishes two explicit formulae for computing…

For the assessment of the financial soundness of a pension fund, it is necessary to take into account mortality forecasting so that longevity risk is consistently incorporated into future cash flows. In this article, we employ machine…

In this paper, we study the formulae for a product of two product Euler polynomials. From this study, we derive some formulae for the integral of the product of two or more Ruler polynomials.

Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by power producers to System Operators. This paper provides a…

Lacking lifetime income data, most intergenerational mobility estimates are subject to lifecycle bias. Using long income series from Sweden and the US, we illustrate that standard correction methods struggle to account for one important…

Translation from the Latin of Euler's "Demonstratio theorematis circa ordinem in summis divisorum observatum" (1760). E244 in the Enestroem index. In his previous paper E243, Euler stated the pentagonal number theorem and assuming it proved…

We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and…

Existing mortality forecasting methods focus on age-specific mortality rates, which lie in an unconstrained space and overlook the distributional nature of life-table death counts. Few studies have developed and compared forecasting methods…