We determine the optimal allocation of funds between the fixed and variable subaccounts in a variable annuity with a GMDB (Guaranteed Minimum Death Benefit) clause featuring partial withdrawals by using a utility-based approach. The Merton method is applied by assuming that individuals allocate...

Purpose This paper presents a follow-on study that quantifies geolingual markers and their apparent connection with authorship collaboration patterns in canonical Digital Humanities (DH) journals. In particular, it seeks to detect patterns in authors' countries of work and languages in...

Purpose This paper presents a co-authorship study of authors who published in Digital Humanities journals and examines the apparent influence of gender, or more specifically, the quantitatively detectable influence of gender in the networks they form. Design/methodology/approach This study...

Some consumption goods, such as housing, involve long-term commitments and their levels of consumption can only be altered with substantial transaction costs. Even though the commitment effect on risk preferences, portfolio choice, and asset prices has been studied, little research has been...

We investigate loan price in mergers and acquisitions (M&As), using hand-matched loan information for a sample of 512 U.S. M&A transactions. We find the relative size of a deal constitutes a prominent determinant of the loan price measured by the all-in spread drawn (AISD). This result is robust...

Mortality models are fundamental to quantify mortality/longevity risks and provide the basis of pricing and reserving. In this article, we consider a family of mortality jump models and propose a new generalized Lee–Carter model with asymmetric double exponential jumps. It is asymmetric in...