The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the values of the equity and of the liability of a life insurance company are affected by the default risk and the choice...

Turbo-Zertifikate gehouml;ren derzeit zu den beliebtesten strukturierten Produkten fuuml;r Privatanleger. Sie lassen sich als Spezialformen von Barrier-Optionen auffassen. In Bezug auf das Produktdesign ist das Verhauml;ltnis von Kursschranke und Basispreis von Bedeutung. Unter Ausnutzung der...

The option to exchange one asset for another is one of the oldest and one of the most popular exotic options. In the present article, we extend the existing literature on options to Parisian exchange options, i.e. the option to exchange one asset for the other contingent on the occurrence of the...

The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the value of the equity and of the liability of a life insurance company are affected by the default risk and the choice...

In this paper, an alternative approach to pricing barrier options is presented that relies on the use of the first hitting time density to the barrier. The lateral Chapman-Kolmogorov relation is used as a major tool in order to determine option prices. It turns out that this approach allows for...

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark....