Recent theoretical results establish that time-consistent valuations (i.e.pricing operators) can be created by backward iteration of one-period valuations. In this paper we investigate the continuous-time limits of well-known actuarial premium principles when such backward iteration procedures...

We propose a new and intuitive risk-neutral valuation model for real estate derivatives which are linked to autocorrelated indices. We model the observed index with an autoregressive model which can be estimated using standard econometric techniques. The resulting index behavior can easily be...

This paper reconsiders the predictions of the standard option pricing models in the context of incomplete markets. We relax the completeness assumption of the Black-Scholes (1973) model and as an immediate consequence we can no longer construct a replicating portfolio to price the option....

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...

We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk-averse for very low values of wealth. The class contains the well-known exponential...

In this paper we propose a simulation algorithm for the Schöbel-Zhu (1999) model and its extension to include stochastic interest rates, the Schöbel-Zhu-Hull-White model as considered in Van Haastrecht et al. (2009). Both schemes are derived by analyzing the lessons learned from the Andersen...

In this paper we propose a simulation algorithm for the Schöbel-Zhu (1999) model and its extension to include stochastic interest rates, the Schöbel-Zhu-Hull-White model as considered in Van Haastrecht et al. (2009). Both schemes are derived by analyzing the lessons learned from the Andersen...