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Max-Min optimization problem for Variable Annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - HAL - 2014

We study the valuation of variable annuities for an insurer. We concentrate on two types of these contracts that are the guaranteed minimum death benefits and the guaranteed minimum living benefits ones and that allow the insured to withdraw money from the associated account. As for many...

Persistent link: https://www.econbiz.de/10010821370

Efficient portfolios in financial markets with proportional transaction costs

Campi, Luciano; Jouini, Elyès; Porte, Vincent - HAL - 2013

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model of foreign currencies with proportional transaction costs. In our setting, transaction costs may be random, time dependent, have...

Persistent link: https://www.econbiz.de/10010733710

Indifference fee rate for variable annuities

Chevalier, Etienne; Lim, Thomas; Roméro, Ricardo Romo - HAL - 2014

In this paper, we work on indifference valuation of variable annuities and give a computation method for indifference fees. We focus on the guaranteed minimum death benefits and the guaranteed minimum living benefits and allow the policyholder to make withdrawals. We assume that the fees are...

Persistent link: https://www.econbiz.de/10010899322

Non linear filtering and optimal investment under partial information for stochastic volatility models

Ibrahim, Dalia; Abergel, Frédéric - HAL - 2014

This paper studies the question of filtering and maximizing terminal wealth from expected utility in a stochastic volatility models. The special feature is that the only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot...

Persistent link: https://www.econbiz.de/10011026142

Efficient trading strategies in financial markets with proportional transaction costs

Campi, Luciano; Jouini, Elyès; Porte, Vincent - HAL - 2011

Persistent link: https://www.econbiz.de/10010618168

Efficient Trading Strategies

Jouini, Elyès; Porte, Vincent - HAL - 2007

In this paper, we point out the role of anticomonotonicity in the characterization of efficient contingent claims, and in the measure of inefficiency size of financial strategies. Two random variables are said to be anticomonotonic if they move in opposite directions. We first provide necessary...

Persistent link: https://www.econbiz.de/10008793718

Efficient Trading Strategies with Transaction Costs

Jouini, Elyès; Porte, Vincent - HAL - 2007

In this article, we characterize efficient contingent claims in a context of transaction costs and multidimensional utility functions. The dual formulation of utility maximization helps us outline the key notion of cyclic anticomonotonicity. Moreover, after defining a utility price in this...

Persistent link: https://www.econbiz.de/10008793933

Market familiarity and the location of South and North MNEs

Azemar, Celine; Darby, Julia; Desbordes, Rodolphe; … - Department of Economics, Adam Smith Business School - 2012

deal with poor governance. We find that these various aspects of market familiarity, which can interact together, are …

Persistent link: https://www.econbiz.de/10010896977

Inequality and Institutions

Chong, Alberto; Gradstein, Mark - C.E.P.R. Discussion Papers - 2004

This Paper presents theory and evidence on the relationship between inequality and institutional quality. We exhibit a model in which the two dynamically reinforce each other and set to test this relationship with a broad array of institutional measures. We establish the double causality between...

Persistent link: https://www.econbiz.de/10005124033

Governance, Institutions, and Regional Infrastructure in Asia

De, Prabir - East Asian Bureau of Economic Research (EABER) - 2010

This study is a comprehensive, empirical analysis of the linkages between governance, institutions, and regional … infrastructure. The empirical results indicate that governance and institutions are crucial for regional infrastructure development … : every one point improvement in governance results in a 1 to 1.5 point rise in regional infrastructure. Countries (and …

Persistent link: https://www.econbiz.de/10009363303