Download Actuarial Sciences and Quantitative Finance: ICASQF, Bogotá, by Jaime A. Londono, José Garrido, Daniel Hernández-Hernández PDF

By Jaime A. Londono, José Garrido, Daniel Hernández-Hernández

ISBN-10: 3319182382

ISBN-13: 9783319182384

Featuring contributions from and academia, this quantity comprises chapters protecting a various diversity of theoretical and empirical points of actuarial technology and quantitative finance, together with portfolio administration, by-product valuation, possibility concept and the economics of coverage. built from the 1st foreign Congress on Actuarial technology and Quantitative Finance, held on the Universidad Nacional de Colombia in Bogotá in June 2014, this quantity highlights diverse techniques to matters bobbing up from industries within the Andean and Carribean areas. Contributions tackle themes corresponding to opposite loan schemes and concrete dynamics, modeling spot cost dynamics within the electrical energy marketplace, and optimizing calibration and pricing with SABR models.

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Bogataj et al. death, there are m C 1 states for the transition from one housing to another (smaller and more accessible units for dependent or independent living). 0 and the decrement which requires housing unit of type j as state j, j D 1; 2; : : :; m. The model should describe the probabilities of transition from state 0 to state j2 H at various time points. In the multiple decrement setup, the transitions between any two states i and j, i > j D 1; 2; : : :; m are not possible, while in multi-state transition we can assume also such transitions [4, 7, 12].

In this new approach, the reverse mortgage schemes/longevity insurance are not tied to the single property as it is the case in the existing reverse mortgage products, but rather to the life of the senior homeowner. In the numerical examples, different cash flows associated with D. R. es M. A. Londoño et al. 1007/978-3-319-18239-1_3 27 28 D. Bogataj et al. different paths of a graph are presented demonstrating the advantages of the flexible reverse mortgage. We show that not only the transaction costs are lower but also that the set of possible choices is larger.

Case A: 160,000 EUR; 2. Case B: 250,000 EUR, and 3. Case C: 300,000 EUR, in an independent living retirement community. 28 EUR. 59 EUR at the end of the withdrawal period (nD22 years) or withdraw the discounted value of this amount at any time. 00 % D Table 2 The modified Equity Release Scheme after the first transaction Case A 14; 652:56 29; 598:17 44; 842:70 60; 392:11 76; 252:51 92; 430:12 108; 931:28 125; 762:47 142; 930:28 160; 441:45 178; 302:84 196; 521:45 215; 104:44 Accumulated debt C(y)CD(y) E Net value of contract (end of the year) 257; 069:72 259; 011:11 231; 393:16 218; 168:47 204; 679:28 190; 920:30 176; 886:15 162; 571:31 147; 970:18 133; 077:02 117; 886:00 102; 391:16 86; 586:42 70; 465:59 42 D.

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