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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

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

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

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

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

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

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

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

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

Crash hedging strategies and worst-case scenario portfolio optimization

Menkens, Olaf - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 597-618

Persistent link: https://www.econbiz.de/10003347393

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