155 research outputs found
Inf-convolution of G-expectations
In this paper we will discuss the optimal risk transfer problems when risk
measures are generated by G-expectations, and we present the relationship
between inf-convolution of G-expectations and the inf-convolution of drivers G.Comment: 23 page
Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models
The aim of this paper is to study the impact of various sources of uncertainty on the pricing of a special longevityâbased instrument: a q-forward contract. At the expiry of a q-forward contract, the realized mortality rate for a given population is exchanged in return for a fixed (mortality) rate that is agreed at the initiation of the contract. Pricing a q-forward involves determining this fixed rate. In our study, we disentangle three main sources of uncertainty and consider their impact on pricing: model choice for the underlying mortality rate, time-window used for estimation and the pricing method itself
Characterization of a Maize Tonoplast Aquaporin Expressed in Zones of Cell Division and Elongation
On the monotone stability approach to BSDEs with jumps: Extensions, concrete criteria and examples
We show a concise extension of the monotone stability approach to backward
stochastic differential equations (BSDEs) that are jointly driven by a Brownian
motion and a random measure for jumps, which could be of infinite activity with
a non-deterministic and time inhomogeneous compensator. The BSDE generator
function can be non convex and needs not to satisfy global Lipschitz conditions
in the jump integrand. We contribute concrete criteria, that are easy to
verify, for results on existence and uniqueness of bounded solutions to BSDEs
with jumps, and on comparison and a-priori -bounds. Several
examples and counter examples are discussed to shed light on the scope and
applicability of different assumptions, and we provide an overview of major
applications in finance and optimal control.Comment: 28 pages. Added DOI
https://link.springer.com/chapter/10.1007%2F978-3-030-22285-7_1 for final
publication, corrected typo (missing gamma) in example 4.1
One prep to catch them all: â2 in 1â, an efficient method for the simultaneous extraction of DNA and RNA from Grapevine tissues
Recent advances in our understanding of plant physiology and adaptation to the environment are tightly related to the development of âomicsâ technologies such as metabolomics, transcriptomics, genomics and epigenomics that allow a more comprehensive view of the plant functioning. In this context, the ability to extract DNA and RNA from small amounts of plant material can be a limiting factor, worse in the case of non-model plants for which efficient nucleic extraction procedures are lacking. In the case of grapevine, extraction of high-quality DNA is typically limited by the high polyphenolic and polysaccharide contents of the different tissues. Here, we propose an adaptation of the method of Reid et al. (2006) that allows the simultaneous and efficient extraction of DNA and RNA from grapevine vegetative and berry tissues from in vitro grown grapevine plants and cells and from other plants. The protocol allows the extraction of high-quality RNA and DNA for standard molecular biology methods as well as for Next Generation Sequencing (NGS). It also works with a limited amount of plant material, such as young developing buds, and provides the means to analyse âomicsâ data from a single plant sample
A Note on the Numerical Evaluation of the HartmanâWatson Density and Distribution Function
The impact of longevity and investment risk on a portfolio of life insurance liabilities
In this paper we assess the joint impact of biometric and financial risk on the market valuation of life insurance liabilities. We consider a stylized, contingent claim based model of a life insurance company issuing participating contracts and subject to default risk, as pioneered by Briys and de Varenne (Geneva Pap Risk Insur Theory 19(1):53â72, 1994, J Risk Insur 64(4):673â694, 1997), and build on their model by explicitly introducing biometric risk and its components, namely diversifiable and systematic risk. The contracts considered include pure endowments, deferred whole life annuities and guaranteed annuity options. Our results stress the predominance of systematic over diversifiable risk in determining fair participation rates. We investigate the interaction of contract design, market regimes and mortality assumptions, and show that, particularly for lifelong benefits, the choice of the participation rate must be very conservative if longevity improvements are foreseeable
Representation of the penalty term of dynamic concave utilities
In this paper we will provide a representation of the penalty term of general
dynamic concave utilities (hence of dynamic convex risk measures) by applying
the theory of g-expectations.Comment: An updated version is published in Finance & Stochastics. The final
publication is available at http://www.springerlink.co
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