This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values...

How to entrench hard-won gains, increase resilience to shocks, and improve growth performance to reduce poverty? As Central America moves forward in regaining macroeconomic stability, these are the challenges. This study analyzes Central America’s real, fiscal, monetary, and financial...

The issue of bonus in life insurance is considered in a model framework where the traditional set-up is extended by letting the experience basis (mortality, interest, etc.) be stochastic. A novel definition of the technical surplus on an insurance contract is proposed, and basic principles for...

We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

In this paper we consider a model of horizontal differentiation with a quite general production function and derive the closed form solutions for the level of the variables in the decentralized economy and in the social planner case. This enables us to analyze how consumers’ welfare varies in...

We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

We derive a number of analytic results for GMDB ratchet options. Closed form solutions are found for De Moivre’s Law, Constant Force of Mortality, Constant Force of Mortality with an endowment age and constant force of mortality with a cutoff age. We find an infinite series solution for a...

Understanding the process of economic growth involves comparing competing theoretical models and evaluating their empirical relevance. Our approach is to take the neoclassical stochastic growth model directly to the data and make inferences about the model parameters of interest. In this paper,...

The market model of interest rates specifies simple forward or Libor rates as lognormally distributed, their stochastic dynamics has a linear volatility function. In this paper, the model is extended to quadratic volatility functions which are the product of a quadratic polynomial and a...

This note extends some recent work of Christensen on simple closed form solutions for linear recurrences, employing connections with renewal sequences. We obtain results for linear recursive sequences defined via monotone coefficients, and provide a broader result in the third-order case. A...