1,720,986 research outputs found
A Bidimensional Approach to Life Portfolio Valuations and to the Insurer's Future Business
No full textQuaderni del Dipartimento di Matematica Applicata alle Scienze Economiche Statistiche ed Attuariali
A pricing formula for delayed claims: appreciating the past to value the future
Full text linkWe consider the valuation of contingent claims with delayed dynamics in a Samuelson complete
market model. We find a pricing formula that can be decomposed into terms reflecting the
current market values of the past and the future, showing how the valuation of prospective
cashflows cannot abstract away from the contribution of the past. As a practical application,
we provide an explicit expression for the market value of human capital in a setting with
wage rigidity. The formula we derive has successfully been used to explicitly solve the infinite
dimensional stochastic control problems addressed in [7], [6] and [16]
Wage rigidity and retirement in optimal portfolio choice
No full textWe study an agent's lifecycle portfolio choice problem with stochastic labor income, borrowing constraints and a finite retirement date. Similarly to Biffis et al. (2020), wages evolve in a path-dependent way, but the presence of a finite retirement time leads to a novel, two-stage infinite dimensional stochastic optimal control problem with explicit optimal controls in feedback form. We find an explicit solution to the associated Hamilton–Jacobi–Bellman (HJB) equation, which is an infinite dimensional PDE of parabolic type. The identification of the optimal feedbacks is delicate due to the presence of time-dependent state constraints, which appear to be new in the infinite dimensional stochastic control literature. The explicit solution allows us to study the properties of optimal strategies and discuss their implications for portfolio choice. As opposed to models with Markovian dynamics, path dependency can now modulate the hedging demand arising from the implicit holding of risky assets in human capital, leading to richer asset allocation predictions consistent with wage rigidity and the agents learning about their earning potential
Regression-based algorithms for life insurance contracts with surrender guarantees
No full textWe present a general framework for pricing life insurance contracts embedding a surrender option. The model allows for several sources of risk, such as uncertainty in mortality, interest rates and other financial factors. We describe and compare two numerical schemes based on the Least Squares Monte Carlo method, emphasizing underlying modeling assumptions and computational issues.Insurance contracts, Surrender option, Stochastic mortality, American contingent claims, Least Squares Monte Carlo method,
Optimal portfolio choice with path dependent labor income: the infinite horizon case
Full text linkWe consider an infinite horizon portfolio problem with borrowing constraints, in which an agentreceives labor income which adjusts to financial market shocks in a path dependent way. Thispath-dependency is the novelty of the model, and leads to an infinite dimensional stochasticoptimal control problem. We solve the problem completely, and find explicitly the optimalcontrols in feedback form. This is possible because we are able to find an explicit solutionto the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if stateconstraints are present. To the best of our knowledge, this is the first infinite dimensionalgeneralization of Merton’s optimal portfolio problem for which explicit solutions can be found.The explicit solution allows us to study the properties of optimal strategies and discuss theirfinancial implications
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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