In this paper we study the asset-liability management of an insurance company selling “participating contracts”. Participating contracts are typical insurance policies sold worldwide.The payoff of a participating policy is linked to the portfolio or the surplus of the insurance company. We...

The ability of standard executive stock options to incite managers to adequately select the assets of their firm has been extensively questioned by academics and practitioners. However, very few alternatives exist or have been proposed to better control the investment strategies of top managers....

This article displays a study of the mutual insurance of bank deposits. A system where deposits are first insured by a consortium then by the Government is envisaged. We wish to compute the fair premia due to both the consortium and the Government. Various types of covenants aiming at making...

This paper develops a general valuation approach to price barrier options when the term structure of interest rates is stochastic. These products' barriers may be constant or stochastic, in particular we examine the case of discounted barriers (at the instantaneous interest rate). So, in...