Showing 81 - 90 of 271
French Abstract: Ce « point sur… » propose un tour d'horizon sur une classe d'options relativement peu connues mais aux applications très prometteuses : les options parisiennes. Après une description de ces produits, nous en détaillons les emplois dans les cadres de l'assurance des...
Persistent link: https://www.econbiz.de/10012963614
This study is devoted to the calculation of appropriate premia and loadings for participating contracts. Our analysis aims at extending the ideas of Buehlmann [2004], and is sequencing the fundamental works of Merton [1974], Longstaff and Schwartz [1995], Briys and de Varenne [1994, 2001]....
Persistent link: https://www.econbiz.de/10012750628
The purpose of this article is to design and price a new type of participating life insurance contract. Participating contracts are popular in the US and in European countries; they satisfy various covenants and obey various regulations depending on the country where they are issued. The...
Persistent link: https://www.econbiz.de/10012761757
This article displays a study on the mutual insurance of bank deposits. A system where deposits are first insured by a consortium then by the Government is envisaged. We wish to compute the fair premia due to both the consortium and the Government. Various types of covenants aiming at making...
Persistent link: https://www.econbiz.de/10005722857
Each financial crisis calls for ¡ª by its novelty and the mechanisms it shares with preceding crises ¡ª appropriate means to analyze financial risks. In <em>Extreme Financial Risks and Asset Allocation</em>, the authors present in an accessible and timely manner the concepts, methods, and techniques...
Persistent link: https://www.econbiz.de/10011156407
We develop a switching regime version of the intensity model for credit risk pricing. The default event is specified by a Poisson process whose intensity is modeled by a switching Lévy process. This model presents several interesting features. First, as Lévy processes encompass numerous jump...
Persistent link: https://www.econbiz.de/10010825959
The concept of absolute risk aversion proposed by K. Arrow (1965) and J. Pratt (1964) and the assumption that it is decreasing in wealth has played a central role in the analysis of risky choices. Ten years later S. Richard (1975) defined correlation aversion in the framework of bivariate...
Persistent link: https://www.econbiz.de/10010678084
To analyze the impact of background risks, decreasing absolute risk aversion (DARA) must be combined with other restrictions on the shape of the utility function in order to make preferences risk vulnerable. In this note, we indicate that risk vulnerability can also be associated with the sole...
Persistent link: https://www.econbiz.de/10010700950
This article introduces a new approach for dealing with the diversification/concentration risk of fixed income assets. Because Government bonds, corporate bonds, and mortgage backed securities constitute a large proportion of the assets of institutional investors in most countries, it is...
Persistent link: https://www.econbiz.de/10013200922
In this paper, we show that risk vulnerability can be associated with the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing in wealth. Specifically, decreasing downside risk aversion in the Arrow–Pratt and Ross senses are respectively...
Persistent link: https://www.econbiz.de/10010931625