We analyze the evolution over time of portfolios of life insurance contracts referring to different cohorts or risk classes of insureds. We model the intensity of mortality as a random field, in order to capture cross-generations (risk classes) effects induced by the on-going management of...

We discuss the fair valuation of Guaranteed Annuity Options, i.e. options providing the right to convert deferred survival benefits into annuities at fixed conversion rates. The use of doubly stochastic stopping times and of affine processes provides great computational and analytical...

We address the risk analysis and market valuation of life insurance contracts in a jump-diffusion setup. We exploit the analytical tractability of affine processes to deal simultaneously with financial and demographic risks affecting a wide range of insurance covers. We then focus on mortality...

We provide a characterization of an optimal insurance contract (coverage schedule and audit policy) when the monitoring procedure is random. When the policyholder exhibits constant absolute risk aversion, the optimal contract involves a positive indemnity payment with a deductible when the...

The framework for insurance and reinsurance now in use needs updating. The proposal for a new solvency framework, called Solvency II, is introducing a risk- sensitive approach, taking into account optimal allocation of capital market, consistent valuation of assets and liabilities ("fair value"...

We examine the actions that insurance firms take immediately after the September 11 attacks to reduce information asymmetries. We find that voluntary disclosure behavior is positively related to the magnitude of the September 11-related loss. Conditioning for the loss, disclosure behavior also...

We examine the actions that insurance firms take immediately after the September 11 attacks to reduce information asymmetries. We find that voluntary disclosure behavior is positively related to the magnitude of the September 11-related loss. Conditioning for the loss, disclosure behavior also...

This paper identifies a distinct immediate announcement period negative relation between earnings announcement surprises and aggregate market returns. Such a relation implies that market participants use earnings information in forming expectations about expected aggregate discount rates and,...

In this teaching note I list some suggestions that might be useful to take into account when forecasting financial statements departing from historical data. The ideas presented in this note are the result of advising undergraduate and graduate students in the course Econ 195.96/295.96...

This paper analyses value-investing strategies based on the residual income valuation approach which has become popular due to the work of Ohlson (1995) and Feltham and Ohlson (1995) for the German stock market. Plenty of empirical evidence shows that it is possible to earn positive abnormal...