Insurance activities cannot be solely based on pooling arguments as issued policies share common risk drivers which can be hard to diversify. These risks can be transferred from insurers to reinsurers. We describe the reinsurance market and discuss the demand for reinsurance. Moral hazard issues...

In this paper we review existing statistical measures for systemic risk and discuss their strengths and weaknesses. Among them we discuss the Conditional Value-at-Risk (CoVaR) introduced by Adrian and Brunnermeier (2010) and the Systemic Expected Shortfall (SES) of Acharya, Pedersen, Philippon...

Reformulating the results of del Baño Rollin, Ferreiro-Castilla, and Utzet (2010), we are able to give necessary and sufficient conditions for the moments of the stock price to exist and extend Theorem 2.1 of Forde and Jacquier (2011). Precisely Forde and Jacquier (2011) provide necessary...

For variable annuity policies, management fees for the most standard guarantees are charged at a constant rate throughout the term of the policy. This creates a misalignment of risk and income - the fee income is low when the option value is high, and vice versa. In turn, this may create adverse...

We first study mean-variance efficient portfolios when there are no trading constraints and show that optimal strategies perform poorly in bear markets. We then assume investors use a stochastic benchmark (linked to the market) as a reference portfolio. We derive mean-variance efficient...

We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull-White and Schoebel-Zhu stochastic volatility models we give simple explicit expressions (improving Broadie and Jain (2008a) in the case of the...

This paper presents a new approach to perform a nearly unbiased simulation using inversion of the characteristic function. As an application we are able to give unbiased estimates of the price of forward starting options in the Heston model and of continuously monitored Parisian options in the...

In this paper insurance claims are priced using an indifference pricing principle. We first revisit the traditional economic framework and then extend it to include the presence of a complete financial market. In this context we derive lower bounds for claims' prices, and these bounds correspond...

In standard portfolio theories such as Mean-Variance optimization, Expected Utility Theory, Rank Dependent Utility Theory, Yaari's Dual Theory and Cumulative Prospect Theory, the worst outcomes for optimal strategies occur when the market declines (e.g, during crises), which is at odds with the...

Nelsen et al. (2004) find bounds for bivariate distribution functions when there are constraints on the values of its quartiles. Tankov (2011) generalizes this work by giving explicit expressions for the best upper and lower bounds for a bivariate copula when its values on a compact subset of...