In this paper we solve an optimal stopping problem with an infinite time horizon, when the state variable follows a jump-diffusion. Under certain conditions our solution can be interpreted as the price of an American perpetual put option, when the underlying asset follows this type of process....

Consider a traditional life insurance contract paid with a single premium. In addition to mortality factors, the relationship between the fixed amount of benefit and the single premium depends on the interest rate (calculation rate). The calculation rate can be interpreted as the average rate...

In many countries, traditional life insurance products include a fixed percentage guarantee on each year's return. This article presents a model for the valuation of life insurance contracts including a guaranteed minimum return. The model is based on the notion of no arbitrage opportunities...

We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula \[F(\omega)=E[F]+\int_0^TE[D_tF|{\cal F}_t]\diamond W(t)dt\] Here $E[F]$ denotes the generalized expectation, $D_tF(\omega)={{dF}\over{d\omega}}$ is the...

In continuous trading, ruin problems are important for several reasons. ln the first part of the paper a test criterion for bankruptcy is developed. In the present framework one implicitly assumes the investor's wealth to be different from zero, otherwise the model is not well-defined. It is of...

The problem of determining optimal portfolio rules is considered. Prices are allowed to be stochastic processes of a fairly general nature, expressible as stochastic integrals with respect to semimartingales. The set of stochastic differential equations assumed to describe the price behaviour...

We use a white noise approach to Malliavin calculus to prove the following white noise generalization of the Clark-Haussmann-Ocone formula <p>\[F(\omega)=E[F]+\int_0^TE[D_tF|\F_t]\diamond W(t)dt\] <p>Here E[F] denotes the generalized expectation, $D_tF(\omega)={{dF}\over{d\omega}}$ is the...</p></p>

This article presents a valuation model of futures contracts and derivatives on such contracts, when the underlying delivery value is an insurance index, which follows a stochastic process containing jumps of random claim sizes at random time points of accident occurrence. Applications are made...