Generalizing a result by Cox and Leland (2000) and Vanduffel et al. (2008), this note shows that risk-averse investors with fixed planning horizon prefer path-independent payoffs in any financial market if the pricing kernel is a function of the underlying's price at the end of the planning...

We show how to improve payoffs such that any portfolio composed of contracts with the improved payoffs is more attractive than the corresponding portfolio with the original payoffs.Starting from an axiomatic characterisation, we derive an amelioration operator that yields payoffs attractive to...

Common features in life insurance contracts are an interest rate guarantee andpolicyholder participation in the returns of insurers’ reference portfolio, which canbe of substantial value. The aim of this paper is to analyze the model risk involvedin pricing and risk assessment that arises from...

This paper introduces a structural credit default model that is based on a hyper-exponential jump diffusion process for the value of the firm. For credit default swap prices and other quantities of interest, explicit expressions for the corresponding Laplace transforms are derived. As an...