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Boelaert, Julien - HAL - 2013

We introduce a new type of demand system using a feedforward artificial neural network. The neural network demand system is a flexible system that requires few hypotheses, has no roots in consumer theory but may be used to test it. We use the system to estimate demand elasticities on micro data...

Persistent link: https://www.econbiz.de/10011026086

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Mete - HAL - 2013

We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010933872

Window double barrier options

Guillaume, Tristan - HAL - 2003

also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are …

Persistent link: https://www.econbiz.de/10010820456

Dynamic hedging of portfolio credit derivatives

Cont, Rama; Kan, Yu Hang - HAL - 2011

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across … a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for …-dimensional bottom-up models perform better than simpler top-down models. When it comes to hedging, top-down and regression-based hedging …

Persistent link: https://www.econbiz.de/10008873568

Disagreement-Based Trading and Speculation: Implications for Financial Regulation and Economic Theory

Biondi, Yuri - HAL - 2011

Lynn Stout's paper develops an insightful legal-economic analysis of speculative trading. From one hand, the paper discusses the legal-economic framework of speculation and its recent transformation, making reference to the case of derivatives markets crash (and related financial crisis) of...

Persistent link: https://www.econbiz.de/10008835378

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

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

A rank-dependent utility model of uncertain lifetime, time consistency and life insurance

Drouhin, Nicolas - HAL - 2012

In a continuous time life cycle model of consumption with uncertain lifetime and no ''pure time preference", we use a non-parametric specification of rank dependent utility theory to characterize the preferences of the agents. From normative point of view, the paper discusses the implication of...

Persistent link: https://www.econbiz.de/10010929098

Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges

Barrieu, Pauline; Bensusan, Harry; Karoui, Nicole El; … - HAL - 2012

This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood;...

Persistent link: https://www.econbiz.de/10008791882