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Optimal investment and premium policies under risk shifting and solvency regulation
Filipović, Damir; Kremslehner, Robert; Muermann, Alexander - 2011
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It … the value policyholders attach to and premiums they are willing to pay for insurance coverage. We characterize Pareto … calibrate our model to a non-life insurer average portfolio. Risk Shifting, Insurance, Regulation, Pareto Optimality …
Persistent link: https://www.econbiz.de/10009009505
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Algorithmic trading with learning
Cartea, Álvaro; Jaimungal, Sebastian; Kinzebulatov, Damir - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10011523847
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Market making with alpha signals
Cartea, Álvaro; Wang, Yixuan - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10012270989
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Hybrid cat-bonds
Barrieu, Pauline (contributor); Loubergé, Henri (contributor) - 2007
analyzed in this paper reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as …
Persistent link: https://www.econbiz.de/10003550859
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A large-scale optimization model for replicating portfolios in the life insurance industry
Adelmann, Maximilian; Fernandez-Arjona, Lucio; Mayer, János - 2016
Replicating portfolios have recently emerged as an important tool in the life insurance industry, used for the … valuation of companies' liabilities. This paper presents a replicating portfolio (RP) model for approximating life insurance … liabilities as closely as possible. We minimize the L1 error between the discounted life insurance liability cash flows and the …
Persistent link: https://www.econbiz.de/10011515725
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Investors' expectations, management fees and the underperformance of mutual funds
Huesler, Andreas D.; Malevergne, Yannick; Sornette, Didier - 2012
Why do investors keep buying underperforming mutual funds? To address this issue, we develop a one-period principal-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the investors perception of the fund plays the key role...
Persistent link: https://www.econbiz.de/10009561613
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Optimal fund menus
Cvitanić, Jakša; Hugonnier, Julien - 2018
We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the preferences of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be explicitly constructed from the solution to a calculus of...
Persistent link: https://www.econbiz.de/10011900225
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529
Persistent link: https://www.econbiz.de/10002108812
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The proper use of risk measures in portfolio theory
Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133
Persistent link: https://www.econbiz.de/10003280039
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Numerical solutions for the Cheridito-Soner-Touzi super-replication model under gamma constraints
Tourin, Agnés - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 401-414
Persistent link: https://www.econbiz.de/10003344320