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Jump contagion among stock market indices : evidence from option markets

Boswijk, Herman Peter; Laeven, Roger J. A.; Lalu, Andrei; … - 2021

This paper explores the contagious propagation of jumps among international stock market indices by exploiting a rich panel of stock and options data. We propose a multivariate option pricing model designed to allow for, but not superimpose, time and space amplification of jumps in option...

Persistent link: https://www.econbiz.de/10012650140

The forward premium puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007

of forwards to complete the maturity spectrum at the (multi-) day level. We find that the correlation only slowly turns … negative as the number of days to maturity is increased to the monthly level. The typical shape of the premium correlation with … regard to the forward maturity length appears to be V-shaped. …

Persistent link: https://www.econbiz.de/10011372514

Unobserved heterogeneity : process and parameter effects in life insurance

Spreeuw, Jaap; Wolthuis, Henk - 1997

In this paper life insurance contracts based on an urn-of-urns model, with age-at-death asobservable variable, are analyzed. Premium payment functions based on the principles of "equivalence on an individual level" and "equivalence on a group level" are compared. Boththe aggregate loss and its...

Persistent link: https://www.econbiz.de/10010371100

Reserve-dependent benefits and costs in life and health insurance contracts

Christiansen, Marcus C.; Denuit, Michel; Dhaene, Jan - 2014

Premiums and benefits associated with traditional life insurance contracts are usually specified as fixed amounts in policy conditions. However, reserve-dependent surrender values and reserve-dependent expenses are common in insurance practice. The famous Cantelli theorem in life insurance...

Persistent link: https://www.econbiz.de/10010399682

Retirement with perfect insurance

Kula, Grzegorz - 2003

This paper focuses on the relation between worker's productivity and retirement decision. Assuming that productivity follows geometric Brownian motion with drift, there exists such a level of productivity for which it is optimal to retire. The worker buys an insurance, which gives a constant...

Persistent link: https://www.econbiz.de/10011334338

Generational accounting, solidarity and pension losses

Teulings, Coen N.; Vries, Casper G. de - 2003

consumption and portfolio theory shows that the younger generations should have the higher equity exposure due to their human …

Persistent link: https://www.econbiz.de/10011334341

Generational accounting, solidarity and pension losses

Teulings, Coen N.; Vries, Casper G. de - 2003

Persistent link: https://www.econbiz.de/10001884957

The political origin of pension funding

Perotti, Enrico C.; Schwienbacher, Armin - 2006 - Date: 20 December 2006

The paper seeks to explain the huge cross country variation in private pension funding,shaped by historical choice made when universal pension systems were created after theGreat Depression. According to Perotti and von Thadden (2006), large inflationaryshocks due to war damage devastated middle...

Persistent link: https://www.econbiz.de/10011350371

Demography and provisions for retirement : the pension composition, an equilibrium approach

Praag, Bernard M. S. van; Hop, J. Peter - 2018

Pensions may be provided for in a modern society by several methods, viz., voluntary individual savings, mandatory fully funded occupational pension systems, and mandatory social security financed by pay-as-you-go. The specific mixture of the three systems we will call the pension composition....

Persistent link: https://www.econbiz.de/10011870742

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

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