The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

In this review paper we recall a dynamic stochastic accumulation model for determining optimal decision between stock and bond investments during accumulation of pension savings. The model has been proposed and analyzed by the authors. We assume stock prices to be driven by a geometric Brownian...

This paper constructs Value at Risk (VaR) measures from a stochastic volatility model with a discrete bivariate mixture-of-normal error distribution - henceforth SV-MN. This volatility-gnerating model is able to accommodate many of the salient features of financial asset returns, such as...

A regime-switching Levy framework, where all parameter values depend on the value of a continuous time Markov chain as per Chevallier and Goutte (2017), is employed to study US Corporate Option-Adjusted Spreads (OASs). For modelling purposes we assume a Normal Inverse Gaussian distribution,...

This paper deals with a variation of the Heston hybrid model with stochastic interest rate illustrated in Grzelak and Oosterlee 2011. This variation has the advantage of being analytically tractable while preserving the good features of the Heston hybrid model in in Grzelak and Oosterlee 2011....

Stocks with high idiosyncratic volatility perform poorly relative to low idiosyncratic volatility stocks. We offer a novel explanation of this anomaly based on real options, which is consistent with earlier findings on idiosyncratic volatility (the positive contemporaneous relation between...

Fixed costs of ordering items or setting up a process arise in many real-life scenarios. In their presence, the most widely used ordering policy in the stochastic inventory literature is the (s, S) policy. Optimality of (s, S) policies and (s, S)-type policies have been investigated for various...

The marginal cost of a good is not usually a relevant factor when crafting intellectual property policy. Marginal costs estimates are based on models of static efficiency, not dynamic efficiency, which is more relevant to policymakers.Profit margins on goods must be high enough to both support...

This paper analyses two approaches to measuring market power - the commonly used Lerner index and a range of exploitation measures. It is argued that the Lerner index is designed to quantify market power from the supply side and the exploitation measures are designed to quantify market power...

This paper presents an easy-to-use measure of patent scope that is grounded both in patent law and in the practices of patent attorneys. We validate our measure by showing both that patent attorneys' subjective assessments of scope agree with our estimates, and that the behaviour of patenters is...