Insurance Industry is going through a very important stage of its transformation - the transition from the classical system of management into a risk-based management. These changes were launched in Europe by international organizations which deal with the development of the necessary...

Savings rate in Pakistan is one of the lowest in the regional countries. As a result, investment to GDP ratio has been dismally low as well. Low investment results in low capital formation and hence lower long term growth and hence low levels of development. The long term growth literature from...

In this paper we develop an approach to valuation of a multiple names security portfolio. The goal of the paper to present pricing and calculation of the risk characteristics of the corporate debt based on randomization of the historical data of portfolio assets. Our approach close but it does...

The thesis develops the option pricing model with interest rate model in stochastic environment by analyzing insurance field in asset liability management context and regulatory puorpose from the management prospective.

The model, by using the option theory, determines the fair value of the insurance life policies with different time of maturity and shows that the effective liabilities duration of an Insurance Company exposed to the default risk is different from the duration of a default free zero coupon bond...

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with...

The recent wide development and changes in insurance markets highlighted the necessity to map out the solvency analysis in a more complete framework. The approach we present in the paper comes up with an integrated analysis of the risk profile of an insurance business, taking into account the...

The model, by using the option theory, determines the fair value of the life insurance policies in absence of default risk and shows that the fair fixed guaranteed interest-rate is less than the risk free interest rate due to the exchange of options between policyholders and shareholders....

The model, by using the option theory, determines the fair value of the policies life with different time of maturity and shows that the effective liabilities duration of an Insurance Company exposed to the default-risk is different from the duration of a default-free zero coupon bond with the...

The present study, employing a survivorship-bias free dataset, assesses the performance of Greek domestic equity funds during the period June 2001-December 2009 controlling for the thin trading risk that is inherent in the Greek stock market. Augmenting Carhart’s multi benchmark model (1997)...