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In this paper, we analyse processes of Ornstein-Uhlenbeck (OU) type, driven by Lévy processes. This class is designed to capture
mean reverting behaviour if it exists; but the data may in fact be adequately described by a pure Lévy process with no OU
(autoregressive) effect. For an appropriate discretised version of the model, we utilise likelihood methods to test for such
a reduction of the OU process to Lévy motion, deriving the distribution of the relevant pseudo-log-likelihood ratio statistics,
asymptotically, both for a refining sequence of partitions on a fixed time interval with mesh size tending to zero, and as
the length of the observation window grows large. These analyses are non-standard in that the mean reversion parameter vanishes
under the null of a pure Lévy process for the data. Despite this we are able to give a very general analysis with no technical
restrictions on the underlying processes or parameter sets, other than a finite variance assumption for the Lévy process.
As a special case, for Brownian motion as driving process, we deduce the limiting distribution in a quite explicit way, finding
results which generalise the well-known Dickey-Fuller (‘unit-root’) theory.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
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We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is almost surely bounded under the statistical measure. Further, we restrict the equivalent martingale measures and apply the same bounds to the mortality intensity under these measures. For this setting we derive upper and lower price bounds for unit-linked life insurance contracts using stochastic control techniques. We also show that the induced hedging strategies indeed produce a dynamic superhedge and subhedge under the statistical measure in the limit when the number of contracts increases. This justifies the bounds for the mortality intensity under the pricing measures. We provide numerical examples investigating fixed-term, endowment insurance contracts and their combinations including various guarantee features. The pricing partial differential equation for the upper and lower price bounds is solved by finite difference methods. For our contracts and choice of parameters the pricing and hedging is fairly robust with respect to misspecification of the mortality intensity. The model risk resulting from the uncertain mortality intensity is of minor importance. 相似文献
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Sascha Desmettre John Gould Alexander Szimayer 《Mathematical Methods of Operations Research》2010,72(3):347-378
We develop a framework for analyzing an executive’s own-company stockholding and work effort preferences. The executive, characterized
by risk aversion and work effectiveness parameters, invests his personal wealth without constraint in the financial market,
including the stock of his own company whose value he can directly influence with work effort. The executive’s utility-maximizing
personal investment and work effort strategy is derived in closed form, and a utility indifference rationale is applied to
determine his required compensation. Being unconstrained by performance contracting, the executive’s work effort strategy
establishes a base case for theoretical or empirical assessment of the benefits or otherwise of constraining executives with
performance contracting. 相似文献
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We consider a highly-qualified individual with respect to her choice between two distinct career paths. She can choose between
a mid-level management position in a large company and an executive position within a smaller listed company with the possibility
to directly affect the company’s share price. She invests in the financial market including the share of the smaller listed
company. The utility maximizing strategy from consumption, investment, and work effort is derived in closed form for logarithmic
utility. The power utility case is discussed as well. Conditions for the individual to pursue her career with the smaller
listed company are obtained. The participation constraint is formulated in terms of the salary differential between the two
positions. The smaller listed company can offer less salary. The salary shortfall is offset by the possibility to benefit
from her work effort by acquiring own-company shares. This gives insight into aspects of optimal contract design. Our framework
is applicable to the pharmaceutical and financial industry, and the IT sector. 相似文献
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This paper proposes two related approximation schemes, based on a discrete grid on a finite time interval [0,T], and having a finite number of states, for a pure jump Lévy process Lt. The sequences of discrete processes converge to the original process, as the time interval becomes finer and the number of states grows larger, in various modes of weak and strong convergence, according to the way they are constructed. An important feature is that the filtrations generated at each stage by the approximations are sub-filtrations of the filtration generated by the continuous time Lévy process. This property is useful for applications of these results, especially to optimal stopping problems, as we illustrate with an application to American option pricing. The rates of convergence of the discrete approximations to the underlying continuous time process are assessed in terms of a “complexity” measure for the option pricing algorithm. 相似文献
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