In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into a stream of retirement income...

In this paper we address the issue of how to establish the fair value of aninsurance-linked liability. This is done by considering the introduction into asimple, one-period market model of a new and quite general security (which, amongst other things, could be such a liability)...

We develop an optimal asset allocatlon model for the accumulation phase of a defined contribution pension plan in the presence of non-hedgeable salary risk...

The necessity to quantify the risk caused by the high volatility of asset prices, large insurance claims or floods has lead to an increasing interest in extreme value analysis. Generalized Pareto and extreme value distributions are well suited to model data which are exceedances above a...

A major application of rescaled adjusted range analysis (RS analysis) is the study of price fluctuations in financial markets. There, the value of the Hurst constant, H, in a time series may be interpreted as an indicator of the irregularity of the price of a commodity, currency or similar...