FS
2006
13 years 11 months ago
2006
We study the problem of finding optimal strategies for a life insurance company or pension fund that acts on behalf of an insured so as to maximize the expected utility (in a gene...
FS
2006
13 years 11 months ago
2006
Abstract The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n = 2 and a lower bound on the co...
FS
2006
13 years 11 months ago
2006
Abstract. Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. We introduce arbitrage-free const...
FS
2006
13 years 11 months ago
2006
Fads models were introduced by Shiller (1984) and Summers (1986) as plausible alternatives to the efficient markets/constant expected returns assumptions. Under these models, loga...
FS
2006
13 years 11 months ago
2006
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
FS
2006
13 years 11 months ago
2006
We prove a general version of the super-replication theorem, which applies to Kabanov's model of foreign exchange markets under proportional transaction costs. The market is ...
FS
2006
13 years 11 months ago
2006
We develop a
FS
2006
13 years 11 months ago
2006
In this paper we generalize recent comparison results of El Karoui, Jeanblanc-Picqu