Within the Own Risk and Solvency Assessment framework, the Solvency II directive introduces the need for insurance undertakings to have efficient tools enabling the companies to assess the continuous compliance with regulatory solvency requirements. Because of the great operational complexity...

We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion. The...

This paper proposes a new measure of gender di¤erences in access to jobs based on a job assignment model. This measure is the probability ratio of getting a job for females and males at each rank of the wage ladder. We derive a non-parametric estimator of this access measure and estimate it for...

In this paper, we propose a job assignment model allowing for a gender difference in access to jobs. Males and females compete for the same job positions. They are primarily interested in the best-paid jobs. A structural relationship of the model can be used to empirically recover the...