In an editorial in ASTIN Bulletin, Hans Bühlmann (2002) suggests it is time to change the teaching of life insurance theory towards the real life challenges of that industry. The following note is a response to this editorial

Both the equilibrium interest rate and the equity premium, as well as risk premiums of risky investments are all important quantities in cost-benefit analyses. In the light of the current (2008) financial crisis, it is of interest to study models that connect the the financial sector with the...

We study a competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices equate supply and demand in every market. We derive the equilibrium price of the firm and the...

The single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise traders is independent of the asset value, we assume that the noise traders are...

We discuss the "life cycle model" by first introducing a credit market with only biometric risk, and then market risk is introduced via risky securities. This framework enables us to find optimal pension plans and life insurance contracts where the benefits are state dependent. We compare these...

In the canonical model of investments, the optimal fractions in the risky assets do not depend on the time horizon. This is against empirical evidence, and against the typical recommendations of portfolio managers. We demonstrate that if the intertemporal coefficient of relative risk aversion is...

The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders of the noise traders to be correlated with the insider's signal. From rather...

We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula \[F(\omega)=E[F]+\int_0^TE[D_tF|{\cal F}_t]\diamond W(t)dt\] Here $E[F]$ denotes the generalized expectation, $D_tF(\omega)={{dF}\over{d\omega}}$ is the...