A5084962285- Stochastic processes and financial applications
- Insurance, Mortality, Demography, Risk Management
- Credit Risk and Financial Regulations
- Insurance and Financial Risk Management
- Market Dynamics and Volatility
- Point processes and geometric inequalities
- Complex Systems and Time Series Analysis
- Capital Investment and Risk Analysis
- Global Health Care Issues
- Financial Risk and Volatility Modeling
- Structural Analysis and Optimization
- Risk and Portfolio Optimization
- demographic modeling and climate adaptation
- Spacecraft Dynamics and Control
Technical University of Munich
2011-2016
Variable annuities represent certain unit-linked life insurance products offering different types of protection commonly referred to as guaranteed minimum benefits (GMXBs). They are designed for the increasing demand customers private pension provision. In this paper we analytically price variable with repayments at maturity and in case insured’s death. If contract is prematurely surrendered, policyholder entitled current value fund account reduced by prevailing surrender fee. The financial...
This paper presents a structural credit model with underlying stochastic volatility, CIR process, combining the Black/Cox framework Heston Model. We allow to calibrate Model for non-observable process as of A closed-form solution price down-and-out call option on assets debt barrier and strike is derived using concept optional sampling. Furthermore, estimators are Method Moments Hidden Markov Chains. As an application in Statistical Finance, default probabilities Merrill Lynch during...
This paper analyzes an intensity‐based approach for equity modeling. We use the Cox–Ingersoll–Ross (CIR) process to describe intensity of firm's default process. The is purposely linked assets firm and consequently also used explain equity. examine two different approaches link derive closed‐form expressions firms' under both models. Kalman filter estimate parameters unobservable demonstrate our using historical time series data from Merrill Lynch. Copyright © 2011 John Wiley & Sons, Ltd.