ratio, and buyout cost, subject to a constraint on downside risk in terms of expected shortfall of assets relative to … increase downside risk …

optimal controls the most. Furthermore, the individual's preferences, such as impatience level and risk aversion, have even a …

governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of … minor importance. -- unit-linked life insurance contracts ; mortality model risk ; price bounds ; stochastic control …

defaultable stock. We provide analytic formulas for the fair premium and illustrate the impact of default risk …

control theory to finance and economics have received strong attention among researchers and practitioners. However …

by the collective risk model. The expected number of policies is affected by the all premiums in the market and further …

to the Yaari model. But, in a CRRA framework in which the coefficient of relative risk aversion is greater (smaller) than …

governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To … respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of …