We study the optimal consumption and portfolio for an agent maximizing the expected utility of his intertemporal consumption in a financial market with: (i) a riskless asset, (ii) a stock, (iii) a bond as a derivative on the stochastic interest rate, and (iv) a longevity bond whose coupons are...

The paper studies the cooperative hedging problem of contingent claims in an incomplete financial market. Firstly we give the characterization of the optimal cooperative hedging strategy for the Black-Scholes model and the Volatility Jump model explicitly, then we consider the problem of...

In this paper, we consider "heavy-tailed" data, that is, data where extreme values are likely to occur. Heavy-tailed data have been analyzed using flexible distributions such as the generalized beta of the second kind, the generalized gamma and the Burr. These distributions allow us to handle...

We study the optimal premium policy of mutual insurance when the charged premium cannot be higher than a preset rate. We provide a complete solution to the problem and use numerical simulations to illustrate how the optimal premium policy responds to changes of outside factors. The results are...

Financial advisers have developed standardized payout strategies to help Baby Boomers manage their money in their golden years. Prominent among these are phased withdrawal plans offered by mutual funds including the "self-annuitization" or default rules encouraged under US tax law, and fixed...

In this paper, we investigate static super-replicating strategies for European-type call options written on a weighted sum of asset prices. This class of exotic options includes Asian options and basket options among others. We assume that there exists a market where the plain vanilla options on...

The gradient allocation principle, which generalizes the most popular specific allocation principles, is commonly proposed in the literature as a means of distributing a financial institution's risk capital to its constituents. This paper is concerned with the axioms defining the coherence of...

The high value of the implicit option to choose a retirement date at which interest rates are particularly high and life annuities relatively cheap, leads to the possibility to introduce regret aversion in the retirement investment decision of defined contribution plan participants. As a remedy...

In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance company). Modeling the risk processes of the insurance...

We study a method, which we call a copula (or quasi-copula) diagonal splice, for creating new functions by joining portions of two copulas (or quasi-copulas) with a common diagonal section. The diagonal splice of two quasi-copulas is always a quasi-copula, and we find a necessary and sufficient...