2016 September - 15 articles
In the aftermath of the financial crisis, it was realized that the mathematical models used for the valuation of financial instruments and the quantification of risk inherent in portfolios consisting of these financial instruments exhibit a substanti...
Transition matrices, containing credit risk information in the form of ratings based on discrete observations, are published annually by rating agencies. A substantial issue arises, as for higher rating classes practically no defaults are observed yi...
In this paper we introduce a new coherent cumulative risk measure on a subclass in the space of càdlàg processes. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spect...
In problems of optimal insurance design, Arrow’s classical result on the optimality of the deductible indemnity schedule holds in a situation where the insurer is a risk-neutral Expected-Utility (EU) maximizer, the insured is a risk-averse EU-maximiz...
Extreme weather and climate change can have a significant impact on all types of infrastructure and assets, regardless of location, with the potential for human casualties, physical damage to assets, disruption of operations, economic and community d...
The aim of this paper is to understand and to model claims arrival and reporting delay in general insurance. We calibrate two real individual claims data sets to the statistical model of Jewell and Norberg. One data set considers property insurance a...
We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy’s states follows an
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extended Wang’s premium principle. The novel contribution is that we allow for heterogeneity in the beliefs regarding th...
The intermarket analysis, in particular the lead–lag relationship, plays an important role within financial markets. Therefore, a mathematical approach to be able to find interrelations between the price development of two different financial instrum...
In this paper, we review pricing of the 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 these...
Let me say from the outset that this is an excellent book to read. It is not only informative, as it should be for a book on forecasting, but it is highly entertaining.[...]
In this survey, a short introduction of the recent discovery of log-normally-distributed market-technical trend data will be given. The results of the statistical evaluation of typical market-technical trend variables will be presented. It will be sh...
This paper uses mortality fan charts to illustrate prospective future male mortality. These fan charts show both the most likely path of male mortality and the bands of uncertainty surrounding that path. The fan charts are based on a model of male mo...
The Turkish Private Pension System is an investment system which aims to generate income for future consumption. This is a volunteer system, and the contributions are held in individual portfolios. Therefore, management of the funds is an important i...
The discrete-time multifactor Vasiček model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an appropriate way. In prac...
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