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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

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

Constructing long/short portfolios with the Omega ratio

Gilli, Manfred; Schumann, Enrico; Di Tollo, Giacomo; … - 2008

We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...

Persistent link: https://www.econbiz.de/10003966094

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

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

Transaction costs and shadow prices in discrete time

Czichowsky, Christoph; Muhle-Karbe, Johannes; … - 2013

. We also clarify the connection between shadow prices and duality theory. Whereas dual minimizers need not lead to shadow …

Persistent link: https://www.econbiz.de/10010257516

Cone-constrained continuous-time Markowitz problems

Czichowsky, Christoph; Schweizer, Martin - 2012 - This version: June 4, 2012

The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We study this in continuous time in a general semimartingale model and under cone constraints: Trading strategies must take values in a...

Persistent link: https://www.econbiz.de/10009558292

Mean-variance hedging via stochastic control and BSDEs for general semimartingales

Jeanblanc, Monique; Mania, Michael; Santacroce, Marina; … - 2012 - This version: 4.6.2012

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...

Persistent link: https://www.econbiz.de/10009558490