In this paper, we give an overview of (nonlinear) pricing-hedging duality and of its connection with the theory of entropy martingale optimal transport (EMOT), recently developed, and that of convex risk measures. Similarly to Doldi and Frittelli …

Leasing valuation is a topic that has aroused considerable interest in business circles. This paper examines leasing from the point of view of the lessor who can decide to leave the contract due to default. We analyze in introducing a model in …

We investigate the asset’s price and the portfolio choices of the managers in the equilibrium generated by a winner takes all contest in a financial market with cash and a risky asset. The manager’s payoff consists in the value of the portfolio at …

We consider an insurer offering various single premium variable annuity contracts with a guaranteed lifetime withdrawal benefit (GLWB) rider to policyholders. All the contracts have the same structure, but differ for the contractual parameters or …

Here we introduce an “alternative” version of the standard traditional amortization plan, where sequences of non-random time-varying periodic interest rates replace the usual constant periodic effective rate, while preserving all the other …

We apply an Input/Output approach to the analysis of the so-called traditional standardized amortization plans (STAP). The approach is based on a clear distinction between Input/trigger and Output of a STAP. The Output is a set of four vectors …

Amortization plans are well-known financial operations to repay interest-bearing loans through a sequence of periodic payments. Since amortization plans are generally settled according to the compound interest law, some questions arise about the …

Shannon entropy is the most common metric for assessing the degree of randomness of time series in many fields, ranging from physics and finance to medicine and biology. Real-world systems are typically non-stationary, leading to entropy values …

This paper deals with the positivity condition of an infinite-dimensional evolutionary equation, associated with a control problem for the optimal consumption over space. We consider a spatial growth model for capital, with production generating …

We consider a class of non-cooperative N-player nonzero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic …

We present a geometric approach to portfolio theory with a focus on risk-adjusted returns, in particular Jensen’s alpha. We find that while the alpha/beta approach has severe limitations, especially in higher dimensions, only minor conceptual …

We propose a minimal set of commonly acceptable principles to consistently formulate amortization schedules in accordance with different contractual clauses. Our goal is bringing to the fore premises that are sometimes left implicit, and yet seem …

With increasing numbers of Australians in or entering retirement, the modelling of functional disability and health status is critical to the insuring and financing of retirement risks for both governments and individuals. The multi-state …

The distribution of productivity levels, and its evolution over time, is a research topic of utmost importance in empirical and theoretical economics. On the theory side, simple analytical models, involving intertemporal optimization, typically …

We investigate the ability of the Lee–Carter model to effectively estimate the gender gap ratio (GGR), the ratio between the male death rates over the female ones, by using a Cox–Ingersoll–Ross (CIR) process to provide a stochastic representation …

We use market data to reconstruct the volatility adjustment, a component of the Solvency II framework designed to mitigate the impact of market risk on insurance liabilities, of different countries on a monthly basis. Only partially in agreement …

In recent years, the increasing life expectancy of the world’s population, due to increased availability of prescribed medication, quality of healthcare services, quantity of healthcare institutions and quality of life, combined with a sharp …

In this paper, five different types of amortization plans with constant instalments are analyzed with a unified approach: a pair of plans in simple interest regime, a pair of plans in compound interest regime and a plan in a hybrid context. In the …

In the decumulation phase of a pension plan, consumption depends on the level of annuitization. We measure the welfare loss of an individual with a demand for annuitization if he has no access to annuitization or, equivalently, does not use such …

We devise a theoretical model for the optimal dynamical control of an infectious disease whose diffusion is described by the SVIR compartmental model. The control is realized through implementing social rules to reduce the disease’s spread, which …