Showing 101 - 110 of 360
Motivated by the risk of stopped debt coupon payments from a leveraged company in iuml;B01nancial distress, we value a level dependent annuity contract where the annuity rate depends on the value of an underlying asset-process. The range of possible values of the asset is divided into a...
Persistent link: https://www.econbiz.de/10012713096
Credit spreads and default policy are analyzed in a structural model. Agents have incomplete information about the company's EBIT process and observe it with time delays. When all agents observe the state variable with the same delay, it has a minor effect on credit spreads and default policy....
Persistent link: https://www.econbiz.de/10012714160
This article integrates aspects of traditional insurance with advances in financial economics, yielding proper valuation and premium assessments of insurance benefits linked to various financial assets. Several new types of unit-linked life insurance contracts are discussed with substantial...
Persistent link: https://www.econbiz.de/10012791391
Consider a traditional life insurance contract paid with a single premium. In addition to mortality factors, the relationship between the fixed amount of benefit and the single premium depends on the interest rate (calculation rate). The calculation rate can be interpreted as the average rate...
Persistent link: https://www.econbiz.de/10012791272
In many countries, traditional life insurance products include a fixed percentage guarantee on each year's return. This article presents a model for the valuation of life insurance contracts including a guaranteed minimum return. The model is based on the notion of no arbitrage opportunities...
Persistent link: https://www.econbiz.de/10012790628
Issuances in the USD 260 Bn global market of perpetual risky debt are often motivated by capital requirements for financial institutions. We analyze callable risky perpetual debt emphasizing an initial protection ('grace') period before the debt may be called. The total market value of debt...
Persistent link: https://www.econbiz.de/10012727483
Persistent link: https://www.econbiz.de/10015116883
Performance-sensitive debt (PSD) contracts link a loan's interest rate to a measure of the borrower's credit relevant performance, e.g. if the borrower's debt to cash ow ratio deteriorates, the interest rate increases according to a predetermined schedule. We derive and empirically test a...
Persistent link: https://www.econbiz.de/10013093619
Persistent link: https://www.econbiz.de/10001350174
Persistent link: https://www.econbiz.de/10001073083