Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average … substantial mortality risk. We calculate that a markup of 3.7% on an annuity premium (or else shareholders' capital equal to 3 …. Insurance companies could deal with aggregate mortality risk by transferring it to financial markets through mortality …

market and actuarial assumptions and how these sensitivities make them a potentially important source of risk to insurance … to multiple nondiversifiable risks. Our modeling framework employs a Monte Carlo simulation of asset returns and … policyholder behavior to derive fair prices for variable annuities in a risk neutral framework and to estimate sensitivities of …

collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of …

hand, while the annuitant is exposed to the risk of a future reduction of the benefit amount because of higher longevity …