2 papers
q-fin.MF2018
Mortality/longevity Risk-Minimization with or without securitization
Tahir Choulli, Catherine Daveloose, Michèle Vanmaele
This paper addresses the risk-minimization problem, with and without mortality securitization, à la Föllmer-Sondermann for a large class of equity-linked mortality contracts when n…
q-fin.PR2017
Pricing of commodity derivatives on processes with memory
Fred Espen Benth, Asma Khedher, Michèle Vanmaele
Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with…