This article investigates the latest developments in longevity risk modelling, and explores the key risk management … highlight some important potential developments for longevity risk management from a financial perspective with reference to the …

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage … models, which present arbitrage opportunities in the absence of fixed costs.In particular, we prove that the quite striking … result obtained by Dybvig, Ingersoll and Ross (1996), which asserts that, under the assumption of absence of arbitrage, long …

, il est observé que le recours à l'arbitrage effectif est extrêmement rare. Ce phénomène témoigne de l'efficacité des SRP …

markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently … probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their … arbitrage. The new probabilities can be interpreted as state prices or as the intertemporal marginal ratyes of substitution of …

equilibrium is still characterized by the no-arbitrage condition. …

equilibrium prices are determined, may still refine their information by eliminating sequentially "arbitrage state(s)", namely …, the state (s) which would grant the agent an arbitrage, if realizable. This article provides a dual behavior of the one …

quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a …

existence of such equilibrium is still characterized by the no-arbitrage condition of finance. This result, which extends our …