Fixed income investments have been a topic of broad interest, in particular for institutional investors such as insurance companies and pensions schemes. They were considered safe heavens in turbulent times by almost all other institutional and individual investors and are used for strategies...

We consider the pricing of products that combine insurance with investments, known as variable annuities. We have visited in the past the problem when the premium is paid with a single instalment and the cost of insurance is collected either at the beginning of the policy or periodically. We...

The number of deviations of a Geometric Brownian Motion with drifts from its extreme points is considered. The properties of these deviations are studied. As an application based on these results, the time instants at which investors decide to buy or sell are examined, when the price of an asset...

The pricing of a series of products that combine insurance with investments, known as variable annuities, is considered. Given that there is a single premium instalment, then the death benefit at the time of death is equal to the maximum between the fund value and the sum assured. We have...