Dollar cost averaging (DCA) is a widely employed investment strategy in financial markets. At the same time it is also well documented that such gradual policy is sub-optimal from the point of view of risk averse decision makers with a fixed investment horizon T 0. However, an explicit strategy...

Using various techniques, Cox and Leland (1982,2000), Dybvig (1988a, 1988b), Vanduffel et al. (2009) and Bernard and Boyle (2010) have shown that in onedimensional markets, complex (path-dependent) contracts are generally not optimal for rational consumers. In this paper, we generalise these...

In this paper we address the problem of projecting mortality when data are severely affected by random fluctuations, due in particular to a small sample size, or when data are scanty. Such situations may emerge when dealing with small populations, such as small countries (possibly previously...

Merton's model (Merton 1974) has long been a standard for estimating company's probability of default (PD) for listed companies. The major advantage of Merton's model is the use of current market prices to determine the probability of default. The logic behind the model is simple; the market...