Showing 31 - 40 of 6,127
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...
Persistent link: https://www.econbiz.de/10014177169
This paper deals with the numerical approximation of backward stochastic differential equations (BSDEs). We propose a new algorithm which is based on the regression later approach. Under some regularity assumptions, the solution of a forward backward stochastic differential equation (FBSDE) can...
Persistent link: https://www.econbiz.de/10013002719
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...
Persistent link: https://www.econbiz.de/10013114789
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...
Persistent link: https://www.econbiz.de/10013067934
Persistent link: https://www.econbiz.de/10015066953
Demographic changes increase the necessity to base the pension system more and more on the second and the third pillar, namely the occupational and private pension plans; this paper deals with Target Date Funds (TDFs), which are a typical investment opportunity for occupational pension planners....
Persistent link: https://www.econbiz.de/10013232329
We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. We prove that convex, entropy convex and entropy coherent measures of risk emerge as certainty equivalents under variational, homothetic and multiple priors preferences,...
Persistent link: https://www.econbiz.de/10013128533
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...
Persistent link: https://www.econbiz.de/10009152556
Persistent link: https://www.econbiz.de/10010256228
Persistent link: https://www.econbiz.de/10010232333