One of the risks derived from selling long-term policies that any insurance company has arises from interest rates. In this paper, we consider a general class of stochastic volatility models written in forward variance form. We also deal with stochastic interest rates to obtain the risk-free...

The Guaranteed Minimum Maturity Benefit is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several processes assumed to describe both the mortality and the financial dynamics, typically represented by interest...

In this work we conduct a study on the calibration of futures contracts on temperature indices. We consider a continuous-time autoregressive dynamics for the deseasonalized temperatures and a pricing measure allowing for a simultaneous change of the level and speed of mean reversion in the risk...