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This paper develops a generalization of the linear quadratic control problem with partial information. As in the standard partial information setting, it is assumed that the state variable is only observed with noise. The idea in this paper is that the information level may be chosen optimally....
Persistent link: https://www.econbiz.de/10004973514
We present a simple model for risky, corporate debt. Debtholders and equityholders have incomplete information about the financial state of the debt issuing company. Information is incomplete because it is delayed for all agents, and it is asymmetrically distributed between debtholders and...
Persistent link: https://www.econbiz.de/10010744175
Control variates are often used to reduce variability in Monte Carlo estimates and their effectiveness is traditionally measured by the so-called speed-up factor. The main objective of this paper is to demonstrate that a control variate can also be applied to reduce the bias stemming from the...
Persistent link: https://www.econbiz.de/10005632856
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We analyze how an individual should optimally invest in human capital when he also has financial wealth. We treat the individual's possibilities to take more education as expansion options and apply real option analysis. In addition, we characterize the individual's optimal consumption strategy...
Persistent link: https://www.econbiz.de/10009276927
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This paper analyzes how Value at Risk (VaR), a risk measure, can be used to calculate contributions to a life insurance guaranty fund. The paper shows that this measure can be a first step towards taking risk and solidity into account when determining how much each insurer should contribute to...
Persistent link: https://www.econbiz.de/10014585444
Persistent link: https://www.econbiz.de/10012093655
In the past, life insurance companies were mainly exposed to mortality risk, a risk they in principle could diversify by issuing a large number of similar and statistically independent policies. However, as more exotic life insurance policies have been offered, such as unit‐linked life...
Persistent link: https://www.econbiz.de/10014901681
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