We extend the model in [Korn, R., Rogers, L.C.G., 2005. Stock paying discrete dividends: modelling and option pricing. Journal of Derivatives 13, 44-49] for (discrete) dividend processes to incorporate the dependence of assets on the market mode or the state of the economy, where the latter is...

The Intergovernmental Panel on Climate Change Fourth Assessment Report (2007) indicates that unanticipated catastrophic events could increase with time because of global warming. Therefore, it seems inadequate to assume that arrival process of catastrophic events follows a pure Poisson process...

A continuous-time mean-variance model for individual investors with stochastic liability in a Markovian regime switching financial market, is investigated as a generalization of the model of Zhou and Yin [Zhou, X.Y., Yin, G., 2003. Markowitz's mean-variance portfolio selection with regime...

Convex risk measures were introduced by Deprez and Gerber [Deprez, O., Gerber, H.U., 1985. On convex principles of premium calculation. Insurance: Math. Econom. 4 (3), 179-189]. Here the problem of allocating risk capital to subportfolios is addressed, when convex risk measures are used. The...

Using a Monte Carlo framework, we analyze the risks and rewards of moving from an unfunded defined benefit pension system to a funded plan for German civil servants, allowing for alternative strategic contribution and investment patterns. In the process we integrate a Conditional Value at Risk...

This paper focuses on the constant elasticity of variance (CEV) model for studying the optimal investment strategy before and after retirement in a defined contribution pension plan where benefits are paid under the form of annuities; annuities are supposed to be guaranteed during a certain...

In this paper we investigate the ruin probability in a general risk model driven by a compound Poisson process. We derive a formula for the ruin probability from which the Albrecher-Hipp tax identity follows as a corollary. Then we study, as an important special case, the classical risk model...

There are two important sources of uncertainty: randomness and fuzziness. Randomness models the stochastic variability of all possible outcomes of a situation, and fuzziness relates to the unsharp boundaries of the parameters of the model. In this sense, randomness is largely an instrument of a...

Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor...

The purpose of this paper is to introduce and construct a state dependent counting and persistent random walk. Persistence is imbedded in a Markov chain for predicting insured claims based on their current and past period claim. We calculate for such a process, the probability generating...