The purpose of this article is to design and price a new type of participating life insurance contract. Participating contracts are popular in the US and in European countries; they satisfy various covenants and obey various regulations depending on the country where they are issued. The...

This paper develops a general valuation approach to price barrier options when the term structure of interest rates is stochastic. These products' barriers may be constant or stochastic, in particular we examine the case of discounted barriers (at the instantaneous interest rate). So, in...

It is now known that the very impressive investment returns generated by Bernie Madoff were based on a sophisticated Ponzi scheme. Madoff claimed to use a split-strike conversion strategy. This strategy consists of a long equity position plus a long put and a short call. In this paper we examine...

In this article, we propose a new method to price numerically Parisian options by inversion of Laplace transform. We compare this method to other more traditional approaches (Monte-Carlo simulations and partial differential equation solving). We show that this method converges more rapidly and...

This study is devoted to the calculation of appropriate premia and loadings for participating contracts. Our analysis aims at extending the ideas of Buehlmann [2004], and is sequencing the fundamental works of Merton [1974], Longstaff and Schwartz [1995], Briys and de Varenne [1994, 2001]....

Locally-capped products are an economically important and poorly understood category of structured financial products. These contracts combine a guaranteed payoff with a bonus equal to some accumulation of the capped periodic returns of a reference portfolio. We show that these products often...

We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull--White and Schöbel--Zhu stochastic volatility models, we give simple explicit expressions (improving Broadie and Jain (2008a). The effect of...

In standard portfolio theories such as Mean-Variance optimization, expected utility theory, rank dependent utility heory, Yaari's dual theory and cumulative prospect theory, the worst outcomes for optimal strategies occur when the market declines (e.g. during crises), which is at odds with the...

This paper solves an optimal insurance design problem in which both the insurer and the insured are subject to Knightian uncertainty about the loss distribution. The Knightian uncertainty is modeled in a multi-prior g-expectation framework. We obtain an endogenous characterization of the optimal...

The papers (Forde and Jacquier in Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>; Forde et al. in Finance Stoch. 15:781–784, <CitationRef CitationID="CR2">2011</CitationRef>) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>), Forde et al. (Finance...</citationref></citationref></citationref>