Default risk analysis is important for valuing corporate bonds, swaps, and credit derivatives
and plays a critical role in managing the credit risk of bank loan portfolios. This paper offers …

Financial valuation OF GMWBs: We develop a variety of methods for assessing the cost and
value of a very popular 'rider'available to North American investors on variable annuity (VA) …

Governments play a central role in the allocation of capital and risk in the economy.
Evaluating the cost to taxpayers of government investments requires an assumption about …

The authors use risk-neutral option pricing theory to value the guaranteed minimum death
benefit (GMDB) in variable annuities (VAs) and some recently introduced mutual funds. A …

In this paper, the stochastic dynamic programming approach is used to investigate the
optimal asset allocation for a defined-contribution pension plan with downside protection …

This paper presents a model of a public pension fund's choice of portfolio risk. Optimal
portfolio allocations are derived when pension fund management maximize the utility of …

Recent variable annuities offer participation in the equity market and attractive protection
against downside movements. Accurately quantifying this additional equity market risk and …

A valuation model is developed within an interest rate contingent claims framework to
estimate NOW account and MMDA premiums and interest rate risk for a sample of …

The recent financial crisis has clearly demonstrated the exposure of defined contribution
(DC) pension scheme members to extreme financial market risks. This paper argues that the …

The decline in birth rates in advanced economies is not a new phenomenon. Between 1880
and 1900 birth rates dropped from 5.5 children per woman to 2.5 children per woman. A …