This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and uses time-inhomogeneous Lévy processes as risk...

We develop a novel, workable switching option model approach to component redesign and replacement projects that are divisible into sequential phases. The component manufacturer has the option to retain the current product position and abandon the project, or switch to a redesigned product...

In this paper we investigate the contribution of structured bonds to the efficient frontier. We conduct our analysis by simulating the term structure according to a no-arbitrage multifactor model (G2 ) and comparing the performance of basic products (like zero-coupon bond, coupon bond and...