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The valuation of insurance liabilities : a framework based on first principles

Bergesio, Andrea; Huber, Paul; Koch Medina, Pablo; … - 2020 - This version: 24 April 2019

We describe a framework for the valuation of insurance liabilities that relies on first principles in finance theory …

Persistent link: https://www.econbiz.de/10012179689

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

Dividends: from refracting to ratcheting

Albrecher, Hansjörg; Bäuerle, Nicole; Bladt, Martin - 2018

In this paper we consider an alternative dividend payment strategy in risk theory, where the dividend rate can never …

Persistent link: https://www.econbiz.de/10011899803

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Utility maximization, risk aversion, and stochastic dominance

Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - 2011

at the expense of a more widespread distribution. Dybvig and Wang [J. Econ. Theory, 2011, to appear] find that this idea …

Persistent link: https://www.econbiz.de/10009009482

The Virtue of Complexity Everywhere

Kelly, Bryan T.; Malamud, Semyon; Zhou, Kangying - 2022

We investigate the performance of non-linear return prediction models in the high complexity regime, i.e., when the number of model parameters exceeds the number of observations. We document a "virtue of complexity" in all asset classes that we study (US equities, international equities, bonds,...

Persistent link: https://www.econbiz.de/10013403787

Machine Learning and the Implementable Efficient Frontier

Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022

We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...

Persistent link: https://www.econbiz.de/10013492674

Survival and evolutionary stability of the Kelly rule

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2009

This chapter gives an overview of current research in evolutionary finance. We mainly focus on the survival and stability properties of investment strategies associated with the Kelly rule. Our approach to the study of the wealth dynamics of investment strategies is inspired by Darwinian ideas...

Persistent link: https://www.econbiz.de/10003971097

Evolutionary finance

Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - 2008

authors in the theory and applications of evolutionary finance models. An introduction to and the motivation of the modeling … strategies, discusses the relation to the Kelly rule and implications for asset pricing theory, and introduces a continuous …

Persistent link: https://www.econbiz.de/10003961707

Mutual fund competition in the presence of dynamic flows

Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this paper...

Persistent link: https://www.econbiz.de/10003962143