A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining account balance at maturity, regardless of the portfolio performance. Under the optimal withdrawal...

In dieser Arbeit entwickeln wir neue Methoden und Verfahren, um aktuelle Modellierungsverfahren zu ergänzen und zu verbessern und um so ein tieferes Verständnis von Energiemärkten zu gewinnen. Wir untersuchen verschiedene Aspekte der stochastischen Modellierung von Energiemärkten: wir...

The goal of this paper is to study the problem of optimal dynamic policy formulation with competing political parties. We study a general class of problems, in which the two competing political parties have quadratic intertemporal objective functions, and in which the economy has a linear...