A great proportion of stock dynamics can be explained using publicly availableinformation. The relationship between dynamics and public information may be ofnonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Much of the industrialized world is undergoing a significant demographic shift, placing strain on public pension systems. Policymakers are responding with pension system reforms that put more weight on privately managed retirement funds. One concern with these changes is the effect on individual...

In this paper, we investigate the impact of different asset management and surplus distributionstrategies in life insurance on risk-neutral pricing and shortfall risk. In general,these feedback mechanisms affect the contract’s payoff and hence directly influence pricingand risk measurement. To...

This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...

Eine Option beinhaltet das Recht, einen bestimmten Basiswert (Aktien oder Anleihen) zu ei-nem vereinbarten Preis innerhalb eines festgelegten Zeitraums oder zu einem festen Zeitpunkt zu kaufen (Kaufoption bzw. „Call“) oder zu verkaufen (Verkaufsoption bzw. „Put“). Der Käufer der Option...

Due to the general globalisation of the German real estate market the open-ended real estatefunds diversify their portfolios globally. This development became possible because of legaldeliberalisation and the rising demand for internationally diversified investment products. Thepaper...

Die Analyse und Beurteilung der Kapitalanlagepolitik deutscher Lebensversicherer istvon außen – insbesondere für Anteilseigner und Versicherte – sehr schwierig, da hierzuim Allgemeinen nur wenige Informationen zur Verfügung stehen. Der folgende Beitragwidmet sich diesem Informationsmangel...

We consider a risk process modelled as a compound Poisson process. We find the otimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding Hamilton-Jacobi-Bellman equation as well as a...

... The aim of the paper is to obtain the asymptotic behaviour of the ruin probability under the optimal investment strategy in the small claims case ...

In a talk given at the Royal Statistical Society of London, Karl Borch in 1967 made the following statement (see Taksar 44):...It took some more time until the first papers on stochastic control in insurance appeared. Since then we can see a rapid development of this field with a series of...