In mathematical finance diffusion models are widely used and a variety of different parametric models for the drift and diffusion coefficient coexist in the literature. Since derivative prices depend on the particular parametric model of the diffusion coefficient function of the underlying, a...

We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into a stream of retirement income...

In this paper we address the issue of how to establish the fair value of aninsurance-linked liability. This is done by considering the introduction into asimple, one-period market model of a new and quite general security (which, amongst other things, could be such a liability)...

We develop an optimal asset allocatlon model for the accumulation phase of a defined contribution pension plan in the presence of non-hedgeable salary risk...

This paper uses survivor fan charts to illustrate the prospective density functions of future male survival rates. The fan charts are based on a version of the Cairns-Blake-Dowd model of male mortality that provides a good fit to recent mortality data for England and Wales. They indicate that...