Technical paper
Model specification analysis in the methanol markets
Research Papers
Continuing to rebuild
Degrees of influence
Name concentration correction
Name concentration correction
A Libor market model with a stochastic basis
A Libor market model with a stochastic basis
Optimal portfolio selection in the presence of non-normally distributed asset returns
Optimal portfolio selection
Valuation of with-profit insurance policies with interest rate guarantees
Classical with-profit life insurance products are traditionally backed by a buy-and-hold bond investment strategy. Using book-value accounting for such products tends to lead to a design of the guarantee rate based on an average of long-term interest…
Assessment of longevity risk under Solvency II
As the implementation of Solvency II looms, the calibration of the standard formula remains a controversial issue as the industry runs the fifth quantitative impact study. But the current design overshoots the one in 200 year confidence level.