naturally leads to risk neutral valuation techniques. This paper considers the pricing of two types of guarantees; namely, the … dynamics are given by affine stochastic processes. Within the standard affine framework for the underlying mortality risk …, stochastic volatility and correlation risk, we develop the key ingredients to perform the pricing of such guarantees. The model …

There is little empirical evidence regarding downside risk in asset pricing, due in part to problems inherent in … estimating downside risk. We argue that Berk and van Binsbergen (2016)'s approach to testing asset pricing models using the … relation between investor flows and risk-adjusted fund returns is well suited for examining the merits of downside risk. We …