Search Results - subject:"expected present value"

On fair reinsurance premiums : capital injections in a perturbed risk model

Ben Salah, Zied; Garrido, José - In: Insurance / Mathematics & economics 82 (2018), pp. 11-20

Persistent link: https://www.econbiz.de/10011929775

Evaluation and default time for companies with uncertain cash flows

Hainaut, Donatien - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 276-285

the value of equity is obtained in terms of the expected present value operators, with and without disinvestment delay. In …

Persistent link: https://www.econbiz.de/10011263854

Evaluation and default time for companies with uncertain cash flows

Hainaut, Donatien - In: Insurance / Mathematics & economics 61 (2015), pp. 276-285

Persistent link: https://www.econbiz.de/10010515871

Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality

Hainaut, Donatien; Deelstra, Griselda - In: Journal of Economic Dynamics and Control 44 (2014) C, pp. 124-146

Present Value operators: this shows that the non-annuitization (or continuation) region is either delimited by a lower or … stopping time is used to maximize the market value of future cash-flows. Thirdly, a solution is proposed in terms of Expected …

Persistent link: https://www.econbiz.de/10010785274

Optimal timing for annuitization, based on jump diffusion fund and stochastic mortality

Hainaut, Donatien; Deelstra, Griselda - In: Journal of economic dynamics & control 44 (2014), pp. 124-146

Persistent link: https://www.econbiz.de/10010473569

Practical guide to real options in discrete time

Levendorskiy, Sergey; Boyarchenko, Svetlana - Society for Computational Economics - SCE - 2004

distributions of commodity prices. The method of the paper is based on the use of the expected present value operators. …

Persistent link: https://www.econbiz.de/10005706514

Joint Life Insurance Policies with Differential Benefits and Premiums to the Policyholders

Das, Shubhabrata - In: Asia-Pacific Journal of Risk and Insurance 2 (2008) 2

In this paper, we explore actuarial justification for equal or unequal sharing of premiums and benefits between policyholders in a product involving joint lives. The analysis reveals a fundamental difference between endowment and assurance types of products in this regard. In assurance plans,...

Persistent link: https://www.econbiz.de/10014585440

Practical guide to real options in discrete time II

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

This paper is an extended version of the paper 'Practical Guide to Real Options in Discrete Time' (http://econwpa.wustl.edu:80/eps/fin/papers/0405/0405016.pdf), where a general, computationally simple approach to real options in discrete time was suggested. We explicitly formulate conditions of...

Persistent link: https://www.econbiz.de/10005413111

Optimal stopping made easy

Boyarchenko, Svetlana; Levendorskiy, Sergey - EconWPA - 2004

expected present value operators. With straightforward modifications, the method works in discrete time--continuous space …

Persistent link: https://www.econbiz.de/10005134695

Practical guide to real options in discrete time

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2004

distributions of commodity prices. The method of the paper is based on the use of the expected present value operators. …

Persistent link: https://www.econbiz.de/10005134883