This paper deals with issues concerning the core as a solution concept for games in coalitional form as well as the use of these games in representing economies of a certain formal type. Side-payment games are imbedded in the more general class of no-side-payment games. It is shown that to a...

This paper is based on a general method for multiperiod prudential supervision of companies submitted to hedgeable and non-hedgeable risks. Having treated the case of insurance in an earlier paper, we now consider a quantitative approach to supervision of commercial banks. The various elements...

We describe a top-down procedure for the supervisory accounting of insurance companies with special emphasis on market impacts. The technical tools are a multiperiod risk assessment, a market consistent best estimate and an eligible asset. First, to avoid supervisory arbitrage by financial...

This paper aims at providing a mathematical foundation for the terms of the well spread supervisory rule 'initial market value of assets must be at least equal to provision plus solvency capital'.It starts with a risk-adjusted assessment - given by a set of test probabilities - of the future...

We examine the ingredients of Solvency II, namely its free capital, provision and solvency capital requirement. They are of course linked by the accounting equality but we claim that they should be more deeply related to each other since solvency naturally should require positivity of available...

This paper is an attempt to study fundamentally the valuation of insurance contracts. We start from the observation that insurance contracts are inherently linked to financial markets, be it via interest rates, or – as in hybrid products, equity-linked life insurance and variable annuities –...

This paper considers a new class of Monte Carlo methods that are combined with PDE expansions for the pricing and hedging of derivative securities for multidimensional diffusion models. The proposed method combines the advantages of both PDE and Monte Carlo methods and can be directly applied to...

This paper uses an alternative, parsimonious stochastic volatility model to describe the dynamics of a currency market for the pricing and hedging of derivatives. Time transformed squared Bessel processes are the basic driving factors of the minimal market model. The time transformation is...

This paper considers a modification of the well-known constant elasticity of variance model where it is used to model the growth optimal portfolio. It is shown taht, for this application, there is no equivalent risk neutral pricing methodology fails. However, a consistent pricing and hedging...