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- Blog Post: TheFinancialServicesClub: How many emails do you get every day?
- Published / Preprint: Mechanical Model of Personal Income Distribution
- Blog Post: TheAlephBlog: Classic: Using Investment Advice, Part 1
- Published / Preprint: Optimal initiation of a GLWB in a variable annuity: no arbitrage approach. (arXiv:1304.1821v1 [q-fin.PM])
- Published / Preprint: A family of density expansions for L\'{e}vy-type processes with default. (arXiv:1304.1849v1 [q-fin.CP])
- Published / Preprint: Ruin Probabilities for Risk Processes with Non-Stationary Arrivals and Subexponential Claims. (arXiv:1304.1940v1 [q-fin.RM])
- Published / Preprint: Robustification of Elliott's on-line EM algorithm for HMMs. (arXiv:1304.2069v1 [stat.ME])
- Published / Preprint: Robust price bounds for the forward starting straddle. (arXiv:1304.2141v1 [q-fin.PR])
- Published / Preprint: Discrete tenor models for credit risky portfolios driven by time-inhomogeneous L\'evy processes. (arXiv:1006.2012v2 [q-fin.PR] UPDATED)
- Published / Preprint: Dialectics of the Current Regulatory and Supervisory Developments in Insurance
- Published / Preprint: Risk Measures and Capital Requirements: A Critique of the Solvency II Approach
- Published / Preprint: New Solvency Regulation: What CEOs of Insurance Companies Think
- Published / Preprint: Will Solvency II Market Risk Requirements Bite? The Impact of Solvency II on Insurersâ Asset Allocation
- Published / Preprint: Risk-Based Capital and Firm Risk Taking in Property-Liability Insurance
- Published / Preprint: Solvency Assessment for Insurance Groups in the United States and EuropeâA Comparison of Regulatory Frameworks
- Published / Preprint: Accounting for European Insurance M&A Transactions: Fair Value of Insurance Contracts and Duplex IFRS/U.S. GAAP Purchase Accounting
- Published / Preprint: Maximum Technical Interest Rates in Life Insurance in Europe and the United States: An Overview and Comparison
- Published / Preprint: Accounting for âInsurance Contractsâ According to IASB Exposure DraftâIs the Information Useful?
- Published / Preprint: 2012 Acknowledgement to Reviewers
| Posted: 09 Apr 2013 05:12 AM PDT      |
| Blog Post: TheFinancialServicesClub: How many emails do you get every day? Posted: 09 Apr 2013 03:10 AM PDT I don’t always praise, but I will shower some praise on British Airways today. Not for their service, flights, destinations or lounges, but for their inflight magazine Business Life. read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Mechanical Model of Personal Income Distribution Posted: 08 Apr 2013 11:17 PM PDT A microeconomic model is developed, which accurately predicts the shape of personal income distribution (PID) in the United States and the evolution of the shape over time. The underlying concept is borrowed from geo-mechanics and thus can be considered as mechanics of income distribution. The model allows the resolution of empirical and definitional problems associated with personal income... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Classic: Using Investment Advice, Part 1 Posted: 08 Apr 2013 08:52 PM PDT Dear Friends,read more... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:31 PM PDT 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 payments. We abstract from utility, bequest and consumption preference issues by treating the VA as liquid and tradable. This allows us to use an American option... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:31 PM PDT We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential L\'evy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent L\'evy measure. Generalizing and extending the novel adjoint expansion technique of Pagliarani, Pascucci, and Riga (2013), we derive a family of... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:31 PM PDT In this paper, we obtain the finite-horizon and infinite-horizon ruin probability asymptotics for risk processes with claims of subexponential tails for non-stationary arrival processes that satisfy a large deviation principle. As a result, the arrival process can be dependent, non-stationary and non-renewal. We give three examples of non-stationary and non-renewal point processes: Hawkes... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:31 PM PDT In this paper, we establish a robustification of an on-line algorithm for modelling asset prices within a hidden Markov model (HMM). In this HMM framework, parameters of the model are guided by a Markov chain in discrete time, parameters of the asset returns are therefore able to switch between different regimes. The parameters are estimated through an on-line algorithm, which utilizes incoming... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:31 PM PDT In this article we consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff $|F_{T_1} - F_{T_0}|$ where $0<T_0<T_1$. Rather than assuming a model for the underlying forward price $(F_t)_{t \geq 0}$, we assume that call prices for maturities $T_0<T_1$ are given and hence that the marginal laws of the underlying are... Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:31 PM PDT The goal of this paper is to specify dynamic term structure models with discrete tenor structure for credit portfolios in a top-down setting driven by time-inhomogeneous L\'evy processes. We provide a new framework, conditions for absence of arbitrage, explicit examples, an affine setup which includes contagion and pricing formulas for STCDOs and options on STCDOs. A calibration to iTraxx... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dialectics of the Current Regulatory and Supervisory Developments in Insurance Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risk Measures and Capital Requirements: A Critique of the Solvency II Approach Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: New Solvency Regulation: What CEOs of Insurance Companies Think Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risk-Based Capital and Firm Risk Taking in Property-Liability Insurance Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
| Published / Preprint: 2012 Acknowledgement to Reviewers Posted: 08 Apr 2013 05:08 AM PDT Visit MoneyScience for the Complete Article.    |
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