9,023 research outputs found
Building knowledge-based economies: research projects in knowledge management and knowledge transfer
Small and medium-sized enterprises (SMEs) are viewed as the growth engines of the new knowledgebased
economy. This new economic growth model differs from the old in significant ways, many of which
are related to the knowledge base that will be required by the SMEs. Based upon prior research a set of
factors important to the success of SMEs in a knowledge-based economy is described. Focusing on those
factors related to the knowledge base, the paper concludes with a set of research questions and brief
descriptions of three research projects on knowledge management and knowledge transfer
Hedging Pure Endowments with Mortality Derivatives
In recent years, a market for mortality derivatives began developing as a way
to handle systematic mortality risk, which is inherent in life insurance and
annuity contracts. Systematic mortality risk is due to the uncertain
development of future mortality intensities, or {\it hazard rates}. In this
paper, we develop a theory for pricing pure endowments when hedging with a
mortality forward is allowed. The hazard rate associated with the pure
endowment and the reference hazard rate for the mortality forward are
correlated and are modeled by diffusion processes. We price the pure endowment
by assuming that the issuing company hedges its contract with the mortality
forward and requires compensation for the unhedgeable part of the mortality
risk in the form of a pre-specified instantaneous Sharpe ratio. The major
result of this paper is that the value per contract solves a linear partial
differential equation as the number of contracts approaches infinity. One can
represent the limiting price as an expectation under an equivalent martingale
measure. Another important result is that hedging with the mortality forward
may raise or lower the price of this pure endowment comparing to its price
without hedging, as determined in Bayraktar et al. [2009]. The market price of
the reference mortality risk and the correlation between the two portfolios
jointly determine the cost of hedging. We demonstrate our results using
numerical examples.Comment: 33 Pages, 1 figur
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