This work proposes a random utility model for individual trading decision in the spirit of prospect theory. This model differs from those in the literature in that empirical data of stock price and volume can be incorporated. The paper tests the model with historical data from the NYSE TAQ...

Purpose – The purpose of this paper is to propose a framework based on cash flow matching for computing the Solvency Capital Requirement under Solvency II. Design/methodology/approach – The time horizon of the insurance liabilities is typically longer than the maturities of bonds available...