... the maturities of bonds available in the market. With the assumption that a collection of bonds will be available for purchase in the future, the authors study the cash flow matching program under interest rate lattice models. Findings The solution can be interpreted as the worst‐case cost and the economic...

...Martin Eling; Michael Kochanski Purpose The purpose of this paper is to review research on lapse in life insurance and to outline potential new areas of research in this field. Design/methodology/approach The authors consider theoretical lapse rate models as well as empirical research on life...

...Paul Dawson; Hai Lin; Yangshu Liu Purpose Longevity risk, that is, the uncertainty of the demographic survival rate, is an important risk for insurance companies and pension funds, which have large, and long‐term, exposures to survivorship. The purpose of this paper is to propose a new model...

...Ahmet Göncü Purpose The purpose of this paper is to compare the ability of popular temperature models, namely, the models given by Alaton et al., by Benth and Benth, by Campbell and Diebold and by Brody et al., to forecast the prices of heating/cooling degree days (HDD/CDD...

...°×2.5° cells. Figure 5 shows the 2.5°×2.5° grid including the origination points of all the landfalling and non‐landfalling hurricanes from 1940 to 2010. United States of America Hurricanes Risk analysis Modelling US landfall probability Atlantic hurricane origination Spatial analysis Long...

...Kamal Smimou; Ruppa K. Thulasiram Purpose Although the mean‐variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with large‐scale problems is limited. The aim of this paper is to close the gap by using...

... the managers may do so to entrench their reputation so as to pursue better opportunities in the labor market. This study aims to consider a one principal‐one agent model to investigate this agency conflict. Design/methodology/approach The paper derives optimal asset allocation strategies for both parties...

...Arindam Bandyopadhyay Purpose The purpose of this paper is to develop a hybrid logistic model by using the inputs obtained from BSM equity‐based option model described in the companion paper, “Mapping corporate drift towards default – Part 1: a market‐based approach” that can more accurately...

...Arindam Bandyopadhyay Purpose This paper aims at developing an early warning signal model for predicting corporate default in emerging market economy like India. At the same time, it also aims to present methods for directly estimating corporate probability of default (PD) using financial as well...

...Jiandong Ren Purpose The paper aims to develop a realistic, yet flexible model of insurer net worth. Design/methodology/approach Inspired by and as an improvement to Powers, the paper develops a multi‐dimensional diffusion model to describe the operations of an insurance company. The paper...

...Kjetil Høyland; Erik Ranberg; Stein W. Wallace Purpose Discusses why it is necessary to align a mathematical model with the organization in order to achieve the desired results. The structure of a model's input must fit with the structure of data collection in the firm, and the output must...

...‐based instruments can potentially enhance reinsurance efficiency through a simple yet self‐contained example. The simplicity allows the analytical examination of the cost and benefits of an index‐based contract. Finally, introduces a real‐world model that optimizes index‐based reinsurance instruments...