منابع مشابه
Self-consistent Asset Pricing Models *
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implies correlations between the return disturbances. As a consequence, the alpha's...
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Survivorship risk is a significant factor in the provision of retirement income. Survivor derivatives are in their early stages and offer potentially significant welfare benefits to society. This article applies the approach developed by Dowd et al. (2006), Olivier and Jeffery (2004), Smith (2005), and Cairns (2007) to derive a consistent framework for pricing a wide range of linear survivor de...
متن کاملMarket Consistent Pricing of Insurance Products
We present the first step in a program to develop a comprehensive, unified equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod financial market. This framework reflects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.
متن کاملGeneral time consistent discounting
Modeling inter-temporal choice is a key problem in both computer science and economic theory. The discounted utility model of Samuelson is currently the most popular model for measuring the global utility of a time-series of local utilities. The model is limited by not allowing the discount function to change with the age of the agent. This is despite the fact that many agents, in particular hu...
متن کاملTime-consistent policies
In many cases the optimal open-loop policy to influence agents who solve dynamic problems is time-inconsistent. We show how to construct a time-consistent open-loop policy rule. We also consider an additional restriction under which the time-consistent openloop policy is stationary. We use examples to illustrate the properties of these tax rules.
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3100108