and, hence, at least a guaranteed interest rate. In this paper, we study the fair valuation and risk situation of an …

family under inflation risk. In the financial market, there is a liquid inflation-linked index bond market which can be … utilized to hedge the inflation risk. The explicit solutions for the optimal strategies including consumption rate, investment … for each financial asset, and life insurance premium are derived for constant relative risk aversion (CRRA) utility case …

This paper investigates the effects of risk aversion on portfolio choices in terms of life insurance purchase and risky … asset investment. The theoretical results show that households with very low degree of risk aversion allocate all of their … investments to risky assets and have little desire to buy life insurance and risk-free bonds. When the degree of risk aversion …

In this article, I develop a generic severity risk model in which LGD is dependent upon PD in an intuitive manner. By … modeling the conditional mean of LGD as a function of PD, which also varies with systemic risk factors, this model allows an … mixed Poisson credit risk model that is capable of handling both risk factor correlation and PD-LGD dependency is developed …