1,720,960 research outputs found
A policyholder's indifference valuation for the guaranteed annuity option
No full textGuaranteed annuity options belong to the class of long term guarantees that insurance companies may offer to their policy- holders. They were very common in U.S. tax-sheltered plans and U.K. retirement savings. These options may represent a very valuable liability for the insurer, being exposed to two dif- ferent sources of randomness: the future interest rates and the future mortality (hazard) rates. Both financial and actuarial ap- proaches have been used to evaluate and describe the nature of such options. In the present work, we present an indifference valuation method for the guaranteed annuity option, from the policyholder’s point of view. In a setting where interest rates are constant, we find an explicit solution for the indifference problem, where the individual is described by a power (instan- taneous) utility function. In this setting, we compare two strate- gies at the time of conversion, and two strategies at the moment when the policy is purchased. In the former, we assume that if the annuitant does not exercise the option, first she withdraws her policy’s accumulated funds, and then seeks to solve a stan- dard Merton’s problem, under an infinite time horizon setting. In the latter strategy, we compare the agent’s expected utility associated to a policy that embeds a guaranteed annuity option, and a policy that does not embed such an option. In order to accumulate the retirement funds, we assume in both cases a pure premium paid at a constant continuous stream. Regard- ing the optimal strategy, we are able to derive explicit solutions for a class of problems where finite horizon, bequest motive and power consumption utility are considered. We conclude the present framework by allowing the agent to earn a constant labor income. As expected, since the income is non-random, we find that the indifference valuation of implicit guaranteed annuity option is not influenced by this richer setting
A policyholder's utility indifference valuation model for the guaranteed annuity option
No full textInsurance companies often include very long-term guaran- tees in participating life insurance products, which can turn out to be very valuable. Under a guaranteed annuity options (g.a.o.), the insurer guarantees to convert a policyholder’s accumulated funds to a life annuity at a fixed rated when the policy matures. Both financial and actuarial approaches have been used to valuate of such options. In the present work, we present an indifference valuation model for the guaranteed an- nuity option. We are interested in the additional lump sum that the policyholder is willing to pay in order to have the option to convert the accumulated funds into a lifelong annuity at a guaranteed rate
Pricing the option to annuitise using the principle of equivalent utility
No full textConvegno AMASES - Trieste
Utility indifference pricing for guaranteed annuity options in life insurance
No full textConvegno MAF - Venezia
Indifference Valuation for Guaranteed Annuity Options Using the Explicit Solution for a Class of Stochastic Optimal Control Problems
No full textIndustrial-Academic Workshop on Optimization in Finance and Risk Management.
Fields Institute, Toronto, Canada
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
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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