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The Influence of the Business Cycle on Mortality

Reichmuth, Wolfgang H.; Sarferaz, Samad - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We analyze the impact of short-run economic fluctuations on age-specific mortality usingBayesian time series … autoregressions of a latent mortality variable and of unemployment andGDP growth as main business cycle indicators. We find that young … adults noticeablydiffer from the rest of the population. They exhibit increased mortality in a recession,whereas most of the …

Persistent link: https://www.econbiz.de/10005862544

Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality

Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previousmodels, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …

Persistent link: https://www.econbiz.de/10005860485

Beyond the business cycle factors driving aggregate mortality rates

Hanewald, Katja - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

This article provides a comprehensive econometric analysis of factors driving aggregate mortality rates over time. It …-2004, indicates that sex- and age-specific mortality rates varysubstantially in their response to external factors. Strongest …

Persistent link: https://www.econbiz.de/10005860564

Convenience Yields for CO2 Emission Allowance Futures Contracts

Borak, Szymon; Härdle, Wolfgang; Trück, Stefan; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

In January 2005 the EU-wide CO2 emissions trading system (EU-ETS) has formally entered into operation.Within the new trading system, the right to emit a particular amount of CO2 becomes a tradable commodity - called EU Allowances (EUAs) - and affected companies, traders and investors will face...

Persistent link: https://www.econbiz.de/10005861246

Discounted Optimal Stopping for Maxima of some Jump-Diffusion Processes

Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We present solutions to some discounted optimal stopping problems for the maximum process in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial problems to integro-differential free-boundary problems...

Persistent link: https://www.econbiz.de/10005861277

Discounted Optimal Stopping for Maxima in Diffusion Models with Finite Horizon

Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

We present a solution to some discounted optimal stopping problem for the maximum of a geometric Brownian motion on a finite time interval. The method of proof is based on reducing the initial optimal stopping problem with the continuation region determined by an increasing continuous boundary...

Persistent link: https://www.econbiz.de/10005861278

An Iteration Procedure for Solving Integral Equations Related to Optimal StoppingProblems

Belomestny, Denis; Gapeev, Pavel V. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

A new algorithm for finding value functions of finite horizon optimal stopping problems in one-dimensional diffusion models is presented. It is based on a time discretization of the corresponding integral equation. The proposed iterative procedure for solving the discretized integral equation...

Persistent link: https://www.econbiz.de/10005861316

Adaptive Simulation Algorithms for Pricing American and Bermudan Options by Local Analysis of Financial Market

Belomestny, Denis; Milstein, Grigori N. - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to theEuropean ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...

Persistent link: https://www.econbiz.de/10005861418

Spectral calibration of exponential Lévy Models [2]

Belomestny, Denis; Reiß, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way. The choice of the underlying model is crucial for the good performance of any calibration procedure. Recent empirical...

Persistent link: https://www.econbiz.de/10005861421

Spectral calibration of exponential Lévy Models [1]

Belomestny, Denis; Reiß, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation …

Persistent link: https://www.econbiz.de/10005861424