The model, by using the option theory, determines the fair value of the policies life with different time of maturity and shows that the effective liabilities duration of an Insurance Company exposed to the default-risk is different from the duration of a default-free zero coupon bond with the...

The model, by using a contingent claim approach, determines the fair value of the banks liabilities accounting for the protection and the surrender possibility. Furthermore, it determines the implied duration of banks liabilities so to show that the surrender possibility will reduce the...

The model presents the valuation of an American Put option by using a duplicating portfolio consisting of riskless security and stock sold short.

The model, by using the option theory, determines the fair value of the life insurance policies in absence of default risk and shows that the fair fixed guaranteed interest-rate is less than the risk free interest rate due to the exchange of options between policyholders and shareholders....

The model, by using the option theory, determines the fair value of the insurance life policies with different time of maturity and shows that the effective liabilities duration of an Insurance Company exposed to the default risk is different from the duration of a default free zero coupon bond...

The thesis develops the option pricing model with interest rate model in stochastic environment by analyzing insurance field in asset liability management context and regulatory puorpose from the management prospective.

The article presents a survey of the principal quantitative tools adopted by the major financial institutions in the credit market, pointing out their limits and new directions.

The model determines a stochastic continuous process as continuous limit of a stochastic discrete process so to show that the stochastic continuous process converges to the stochastic discrete process such that we can integrate it. Furthermore, the model determines the expected volatility and...

The paper analyses coupon bonds linked to variable interest rate in a contingent claim approach such that it can be decomposed in elementary options on interest rate and options to default. It is considered the case of continuous arithmetic average of interest rate in a simple capitalization to...

The model, by using a contingent claim approach, determines the fair value of the banks liabilities accounting for the protection and the surrender possibility. Furthermore, it determines the implied duration of banks liabilities so to show that the surrender possibility will reduce the...