The product moments of existing and new noncentral bimatrix variate beta distributions with bounded domain are derived. From these, exact expressions for the distributions of statistics are obtained by using the Mellin transform. These distributions add value to multivariate statistical analysis...

This paper considers the pricing of European call options written on pure endowment and deferred life annuity contracts, also known as guaranteed annuity options. These contracts provide a guarantee value at maturity of the option. The contract valuation is dependent on stochastic interest rate...

In linear specifications, the bias due to the presence of measurement error in a regressor can be entirely avoided when either repeated measurements or instruments are available for the mismeasured regressor. The situation is more complex in nonlinear settings. While identification and root n...

In this work we shall consider two classes of weakly second-order periodically correlated and strongly second-order periodically correlated processes with values in separable Hilbert spaces. The periodogram for these processes is introduced and its statistical properties are studied. In...

In this paper we present an integral equation approach for the valuation of American-style installment derivatives when the premium payments, made continuously throughout the contract’s life, are assumed to be a function of the asset price and time. The contribution of this study is...

Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price. But, for Levy processes the S-space transition densities are often very...

Purpose – This editorial, the second of a two‐part series, proposes a new measure of risk for analyzing highly non‐normal (i.e. asymmetric and long‐tailed) random variables in the context of both investment and insurance portfolios. The proposed measure replaces the p ‐norm‐based...