Mathematical And Statistical Methods In Insurance And by Andras Kornai

By Andras Kornai

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R. Bacinello applied in order to hedge the mortality risk, it is not possible, in the valuation, to keep these two sources of uncertainty separate because there is a continuous interaction between them. The literature concerning the valuation of the surrender option in a contingentclaims framework is not very abundant, and most of the papers on this subject deal with purely financial contracts, without mortality risk, applying to them the results on American options. There are very few exceptions that deal with actual life insurance contracts, characterized by both financial and mortality risk.

Pictet, M. Schwartz and C. , J. Delour, and E. Bacry, Modeling fluctuations of financial time series: From cascade processes to stochastic volatility models, Eur. J. Phys. , tational Finance and its Applications, M. Costantino and C. A. Brebbia (Editors), WIT Press (2004) Peng C. , Stanley H. E. and Goldberger A. , Mosaic organization of DNA nucleotides, Phys. Rev. E Stat. Nonlin. Soft Matter Phys. , D. Schertzer, S. Lovejoy, Mulitfractal Fluctuations in Finance, International Journal of Theoretical and Applied Finance, 3, 361–364 (2000) Vandewalle N.

1) Equality (1) implies E(|X (t )|q ) = t H0q E(|X (1)|q ), (2) which allows the testing of self-similarity by the scaling of the sample (absolute) moments of X (t ). With respect to the definition of self-similarity, this approach leads Scaling Laws in Stock Markets. An Analysis of Prices and Volumes 37 to weaker conclusions because the reverse implication (from (2) to (1)) is not necessarily true. The problem is addressed by [BA04], who reformulates relation (1) in an equivalent way by introducing a proper metric on the space of the rescaled probability distribution functions (pdf’s) as follows.

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