An important part of the current financial and actuarial research deals with the investigation of present value functions in the case of a stochastic interest rate. In the present contribution, it is shown how interest rates can be restricted to meet special types of financial or actuarial...

A subject often recurring in the recent financial and actuarial research, is the investigation of present value functions with stochastic interest rates. Only in the case of uncomplicated payment streams and rather basic interest rate models, an exact analytical result for the distribution...

We introduce and discuss a new parametric copula builder which is named the “? construction method”. The methodology is explained and illustrated using 3 types of ? functions. It shows that the ? method has strong visual advantages for recognizing key dependence characteristics and importing...

A key problem in financial and actuarial research, and particularly in the field of risk management, is the choice of models so as to avoid systematic biases in the measurement of risk. An alternative consists of working with incomplete information, by fixing only a number of parameters instead...

In spite of the power of the Black & Scholes option pricing method, there are situations in which the hypothesis of a lognormal model is too restrictive. One possibility to deal with this problem, consists of a weaker hypothesis, fixing only successive moments and eventually the mode of the...