We present in this paper a particular Metropolis-type algorithm for the simulation of a beta (formula) variable whose convergence is extremely slow. The interest of this phenomenon is to provide a simple benchmark against which convergence control techniques can be tested. We illustrate this use...

This study investigates the optimal asset allocation of a financial institution subject to liquidity risks and whose customers are free to withdraw their capital-guaranteed financial contracts at any time. Accounting for constraints on the solvency of the institution, we present a general...

This paper offers a systematic treatment of risk-sharing rules for insurance losses, based on a list of relevant properties. A number of candidate risk-sharing rules are considered, including the conditional mean risk-sharing rule proposed in Denuit and Dhaene (2012). and the newly introduced...

This work intend to shed some light on a new use of Phase-type distributions in credit risk, taking into account different flows of information without huge numerical calculations. We consider credit migration models with partial information and study the influence of a deficit of information on...