MoneyScience News |
- Vendor News: November 21, 2014 - SS&C GlobeOp Forward Redemption Indicator: November notifications 5.05%
- Blog Post: TheFinancialServicesClub: What is the 'digital core' for a bank?
- Published / Preprint: Valuation of Variable Annuities with Guaranteed Minimum Withdrawal and Death Benefits via Stochastic Control Optimization. (arXiv:1411.5453v1 [q-fin.CP])
- Published / Preprint: Two maxentropic approaches to determine the probability density of compound risk losses. (arXiv:1411.5625v1 [q-fin.RM])
- Published / Preprint: Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model. (arXiv:1106.2781v2 [math.OC] UPDATED)
- Blog Post: WealthandCapitalMarketsBlog: Buy side insight for Fixed Income platforms
| Posted: 21 Nov 2014 01:13 AM PST      |
| Blog Post: TheFinancialServicesClub: What is the 'digital core' for a bank? Posted: 21 Nov 2014 12:14 AM PST I’ve been talking about banks replacing their legacy mess with a digital core for a while now. Rearchitect your bank by getting rid of spaghetti based systems organised around products and channels to market, and redesign them for digital structures focused upon customers.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2014 05:37 PM PST In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic control problem. This product simultaneously deals with financial risk, mortality risk and human behaviour. We assume that market is complete in financial... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2014 05:37 PM PST Here we present an application of two maxentropic procedures to determine the probability density distribution of compound sums of random variables, using only a finite number of empirically determined fractional moments. The two methods are the Standard method of Maximum Entropy (SME), and the method of Maximum Entropy in the Mean (MEM). We shall verify that the reconstructions obtained satisfy... Visit MoneyScience for the Complete Article.    |
| Posted: 20 Nov 2014 05:37 PM PST This paper considers the optimal dividend payment problem in piecewise-deterministic compound Poisson risk models. The objective is to maximize the expected discounted dividend payout up to the time of ruin. We provide a comparative study in this general framework of both restricted and unrestricted payment schemes, which were only previously treated separately in certain special cases of risk... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Buy side insight for Fixed Income platforms Posted: 20 Nov 2014 10:37 AM PST Time keeps becoming scarcer and we all become more selective on what conference we will attend or speak at. But yesterday, as I was by chance  in Paris, I dropped by one of the potentially nth conference on fixed income, and was presently surprised by the value of its content. Congrats to Trading Screen for pulling it off.read more... Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 1600 Amphitheatre Parkway, Mountain View, CA 94043, United States | |