This paper develops a transform-based approach for the pricing of participating life insurance contracts with a constant or floating guaranteed rate. Our analysis incorporates credit, market (jump), and economic (regime switching) risks, where the evolution of the reference portfolio is...

In this article, we construct a structural model with jumps and regime switching to price banks' contingent convertible debt (CoCos) and deposit insurance. We use an Esscher transform that is applicable to regime switching double exponential jump diffusions to move from the historical world to...

This paper solves the robust portfolio selection problem with spectral risk measures under mixture R-vine copula uncertainty. Spectral risk measures are used to capture investors’ subjective risk aversion while R-vine copula change-point detection is employed to better construct mixture R-vine...

This paper develops a robust portfolio optimization model based on regime switching R-Vine copulas, where regime switching R-Vine copulas capture asymmetric dependence and regime switching in financial markets. We consider the uncertainty in hidden economic states and define WSCVaR as CVaR in...