Option pricing based on GARCH models is typically obtained under the assumption that the random innovations are standard normal (normal GARCH models). However, these models fail to capture the skewness and the leptokurtosis in financial data. We propose a new method to compute option prices...

Asian options are hard to price both analytically and numerically. Even though they have been the focus of much attention in recent years, there is no single technique which is widely accepted to price Asian options for all choices of market parameters. For hedging purposes, the estimation of...

In this paper we deal with contribution rate and asset allocation strategies in a pre-retirement accumulation phase. We consider a single cohort of workers and investigate a retirement plan of a defined benefit type in which an accumulated fund is converted into a life annuity. Due to the random...

This paper investigates optimal asset management strategies for property and casualty insurance companies in illiquid markets. Using a cash-flow based liquidation model of an insurance company, we consider the effects of permanent and temporary price impact as well as commonality in price...

The risk model with interclaim-dependent claim sizes proposed by Boudreault et al. [Boudreault, M., Cossette, H., Landriault, D., Marceau, E., 2006. On a risk model with dependence between interclaim arrivals and claim sizes. Scand. Actur. J., 265-285] is studied in the presence...

We consider a classical risk model with dividend payments and capital injections. Thereby, the surplus has to stay positive. Like in the classical de Finetti problem, we want to maximise the discounted dividend payments minus the penalised discounted capital injections. We derive the...

We present a method for pricing structured CAT bonds based on utility indifference pricing. The CAT bond considered here is issued in two distinct notes called tranches, specifically senior and junior tranches each with its own payment schedule. Our contributions to the literature of CAT bond...

We consider a periodic risk model with the possibility of investing into a risky asset, given by a geometrical Brownian motion. The aim is to maximize the adjustment coefficient of the risk process. It is shown that the optimal investment strategy only depends on the averaged data of the model...

In this paper an alternative to the usual credibility premium that arises for weighted balanced loss function is considered. This is a generalized loss function which includes as a particular case the weighted quadratic loss function traditionally used in actuarial science. From this function...

The tail dependence indexes of a multivariate distribution describe the amount of dependence in the upper right tail or lower left tail of the distribution and can be used to analyse the dependence among extremal random events. This paper examines the tail dependence of multivariate...