Len Patrick Dominic M. Garces
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View article: Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates
Risk-sharing rules for mortality pooling products with stochastic and correlated mortality rates Open
Risk-sharing rules have been applied to mortality pooling products to ensure these products are actuarially fair and self-sustaining. However, most of the existing studies on the risk-sharing rules of mortality pooling products assume dete…
View article: Uncertainty in Pricing and Risk Measurement of Survivor Contracts
Uncertainty in Pricing and Risk Measurement of Survivor Contracts Open
As life expectancy increases, pension plans face growing longevity risk. Standardized longevity-linked securities such as survivor contracts allow pension plans to transfer this risk to capital markets. However, more consensus is needed on…
View article: <tt>AffineMortality</tt>: An R package for estimation, analysis, and projection of affine mortality models
AffineMortality: An R package for estimation, analysis, and projection of affine mortality models Open
This paper presents the AffineMortality R package which performs parameter estimation, goodness-of-fit analysis, simulation, and projection of future mortality rates for a set of affine mortality models for use in pricing and reserving. Th…
View article: Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models
Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models Open
Affine mortality models, developed in continuous time, are well suited to longevity risk applications including pricing and capital management. A major advantage of this mortality modeling approach is the availability of closed-form cohort…
View article: Regression-based approaches for simulation meta-modelling in the presence of heterogeneity and correlation
Regression-based approaches for simulation meta-modelling in the presence of heterogeneity and correlation Open
We discuss several regression-based methods for simulation meta-modelling and illustrate these methods using combat simulator data.Since the use of common random numbers (CRNs) as a variance reduction technique induces correlations in the …
View article: A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics
A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics Open
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modeled with stochastic volatility and jump-diffusion dynamics. As with any other numerical scheme …
View article: A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics
A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics Open
We consider a method of lines (MOL) approach to determine prices of European and American exchange options when underlying asset prices are modelled with stochastic volatility and jump-diffusion dynamics. As the MOL, as with any other nume…
View article: On eigenvalue bounds for the finite-state birth-death process intensity matrix
On eigenvalue bounds for the finite-state birth-death process intensity matrix Open
The paper sets forth a novel eigenvalue interlacing property across the finite-state birth-death process intensity matrix and two clearly identified submatrices as an extension of Cauchy’s interlace theorem for Hermitian matrix eigenvalues…
View article: A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics
A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics Open
We price European and American exchange options where the underlying asset prices are modelled using a Merton (1976) jump-diffusion with a common Heston (1993) stochastic volatility process. Pricing is performed under an equivalent marting…
View article: Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics
Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics Open
In this article, we provide representations of European and American exchange option prices under stochastic volatility jump-diffusion (SVJD) dynamics following models by Merton (1976), Heston (1993), and Bates (1996). A Radon-Nikodym deri…
View article: Influence of social indicators in the consumption of domestic electricity for urban marginal areas of Guayaquil
Influence of social indicators in the consumption of domestic electricity for urban marginal areas of Guayaquil Open
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View article: Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
Representation of exchange option prices under stochastic volatility jump-diffusion dynamics Open
In this article, we provide representations of European and American exchange option prices under stochastic volatility jump-diffusion (SVJD) dynamics following models by Merton [Option pricing when underlying stock returns are discontinuo…