In this paper we extend the existing literature on xVA along three directions. First, we extend existing BSDE-based xVA frameworks to include initial margin by following the approach of Crépey (2015a) and Crépey (2015b). Next, we solve the consistency problem that arises when the front- office...

This paper assesses the risk of a mass lapse event in life insurance. The rarity of the event and the complexity of policyholder behavior, make the risk assessment of such a scenario difficult. Using a simulation study, we evaluate how different estimation methods can assess the scenario when...

We study optional projections of G-adapted strict local martingales on a smaller filtration Funder changes of equivalent martingale measures. General results are provided as well as a detailed analysis of two specific examples given by the inverse Bessel process and a class of stochastic...