Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the state vector prevents or at least severely impedes their...

This paper assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to manage systematic mortality risks, namely self-insurance...

This paper assesses the impact of variable investment-linked deferred annuities (VILDAs) on lifecycle consumption, saving, and portfolio allocation patterns given stochastic and systematic mortality. Insurers have taken two approaches to manage systematic mortality risks, namely self-insurance...