Retail structured products regularly receive much criticism from financial experts but seem to remain popular with investors. This article considers a generic structured product: the principal-protected indexlinked note (structured bond), which resembles a portfolio insurance contract. The...

We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state variables. The nominal pricing kernel is constructed in a...

This paper studies the economic implications of regulatory systems which allow equityholders of pension companies to not only charge a specific premium to compensate them for their higher risk (compared to policyholders), but also to accumulate these risk charges in a so-called shadow account in...

The paper is in two major parts. In the setup of a standard continuous time model of a financial market with interest rate risk only, we first provide a comprehensible and intuitive exposition of the foundation for and relation between three valuation methodologies: the classical no arbitrage...