The actuarial profession is increasingly teaming up with financial economists for a fruitful cooperation on the proper valuation of life insurance and pension (L&P) liabilities. This has been a natural consequence of a recent sharply increased focus on market values in financial reports of L&P...

This paper analyzes an explicit return smoothing mechanism which has recently been introduced as part of a new type of pension savings contract that has been offered by Danish life insurers. We establish the payoff function implied by the return smoothing mechanism and show that its...

Life and Pension companies are facing enhanced risks of market due to dynamic interest rates and unprecedented volatility in equities, jeopardizing guarantee of performance to policyholders and shareholders. Evolving statutory requirements and financial reporting standards add to the challenges...

The article studies the valuation and optimal management of Time Charters with Purchase Options (T/C–POPs), which is a specific type of asset lease with embedded options that is common in shipping markets. T/C–POPs are economically significant and sometimes account for more than half of the...

The purpose of this article is to illustrate how the pension benefits a pension saver will (expect to) receive will depend on the type of pension scheme chosen. We compare three widely different pension savings products: the ‘‘traditional'' with-profits scheme involving bonus entitlement...

Retail structured products regularly receive much criticism from financial experts but seem to remain popular with investors. This article considers a generic structured product: the principal-protected indexlinked note (structured bond), which resembles a portfolio insurance contract. The...

Extended Nelson-Siegel models are widely used by e.g. practitioners and central banks to estimate current term structures of riskless zero-coupon interest rates, whereas other models such as the extended Vasicek model (a.k.a. the Hull-White model) are popular for pricing interest rate...

The paper analyzes one of the most common life insurance products — the so-called participating (or with profits) policy. This type of contract stands in contrast to unit-linked (UL) products in that interest is credited to the policy periodically according to some mechanism which smoothes...

This paper develops a new pricing model for American-style indexed executive stock options. We rely on a basic model framework and an indexation scheme first proposed by Johnson and Tian (2000a) in their analysis of European-style indexed options. Our derivation of the valuation formula...

This article derives the first analytical pricing formulas for American-style Asian options of the so-called floating strike type. Geometric as well as arithmetic averaging is considered. The setup is a standard Black-Scholes framework where the price of the underlying security evolves according...