The paper analyzes optimal investment strategies for life insurance contracts using mean-variance optimization.
problem Optimal portfolio choice for equity holders in life insurance contracts.
method Mean-variance optimization, explicit formulas, Hamilton-Jacobi-Bellman equations, numerical analysis.
result Equity holders increase investment in risky assets during economic downturns.
The paper analyzes bank decisions in a three-step model, focusing on equity and debt raising.
problem Bank decision-making in a three-time-step model with equity and debt raising.
method Theoretical analysis of raising new equity and debt, considering capital requirements and equity holders constraints.
result Raising equity and debt can increase or decrease return on equity, depending on specific cases.
New EPS insurance offers partial protection against superannuation losses.
problem Lack of efficient investment insurance for superannuation holders.
method Developed a new financial derivative, equity protection swap (EPS), and derived a fair pricing formula.
result EPS can be an efficient investment insurance tool for superannuation accounts.
To mitigate potential contagion from future banking crises, the European Commission recently proposed a framework which would provide for the bail-in of bank creditors in the event of failure. In this study, we examine this framework retrospectively in the context of failed European banks during the global f…
The paper analyzes debt recycling strategies for mortgage repayment, revealing complex phases of success and failure.
problem Evaluating the effectiveness of debt recycling strategies compared to standard mortgage repayment.
method Developed a dynamical model to study the time evolution of equity and mortgage balance under various conditions.
result The model identifies four phases: strongly successful, weakly successful, default, and permanent re-mortgaging, with sensitivity to initial conditions.
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable results when the barrier lies within the range of liquidly traded strikes of plain-vanilla option prices, the situation is …
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so called succes factor $\IE^\IP\left[{\mathbf 1}_{\{V_T \geq D)}+{\mathbf 1}_{\{V_T…
The paper analyzes GMWB annuities in low interest rate environments.
problem Valuation of GMWB annuities in low interest rate conditions.
method Dynamic programming and Hull-White interest rate model.
result Low interest rates increase the fair value of GMWB annuities.
This paper studies a Value-at-Risk (VaR)-regulated optimal portfolio problem of the equity holders of a participating life insurance contract. In a setting with unhedgeable mortality risk and complete financial market, the optimal solution is given explicitly for contracts with mortality risk using a martingale approac…
Optimizes capital structure for life insurance companies with surplus participation.
problem Determining the optimal participation rate in life insurance contracts.
method Adapted Leland's dynamic capital structure model to life insurance context.
result Optimal participation rate is highly sensitive to contract duration and tax rate.
Pricing formulae for defaultable corporate bonds with discrete coupons under consideration of the government taxes in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in [1]) into…
We consider in this paper some structured financial products, known as reverse convertible notes, that resulted in substantial losses to certain buyers of these notes in recent years. We shall focus on specific reverse convertible notes known as "Autocallable Optimization Securities with Contingent Protection Linked to…
Study explores relationship between Hölder and FDPD divergences.
problem Understanding the relationship between Hölder and FDPD divergences.
method Intersection and generalization of divergence families, proving nonnegativity, deriving inequalities.
result Established ξ-Hölder divergence and derived inequalities. We introduce a general class of stochastic processes driven by a multifractional Brownian motion (mBm) and study the estimation problems of their pointwise Hölder exponents (PHE) based on a new localized generalized quadratic variation approach (LGQV). By comparing our suggested approach with the other two existing ben…
Develops analysis of Hölder continuous mappings on Heisenberg groups.
problem Analyzing Hölder continuous mappings on Heisenberg groups.
method Theory of distributional Jacobians and pullbacks of differential forms.
result Simple proof of a generalization of the Gromov non-embedding theorem and new results about Hölder homotopy groups.
Proves Hölder continuity of complex Monge-Ampère solutions.
problem Global Hölder continuity of solutions to complex Monge-Ampère equation.
method Analyzes Dirichlet problem on strictly pseudoconvex domains or Hermitian manifolds.
result Proves global Hölder continuity of solutions under given conditions.
Proves rigidity of maps between balls with Hölder boundary continuity.
problem Rigidity of proper holomorphic maps between unit balls with Hölder boundary continuity.
method Proves rigidity for maps with symmetries and Hölder boundary continuity.
result Proves rigidity for maps with Hölder exponent > 1/2 on the boundary.
This paper proves Hölder continuity for complex Monge-Ampère equations on Kähler varieties.
problem Establishing Hölder estimates on singular Kähler varieties.
method Geometric regularization based on partial C0 estimate. result Uniform Hölder continuity for complex Monge-Ampère equations on Kähler varieties.
Adapts Hölder smoothness with normalized gradients.
problem Improving smoothness adaptation methods.
method Black-box adaptation of Levy's method using normalized gradients.
result Bound depends on local Hölder smoothness.
The study assesses music as an investment asset class using discounted cashflow models.
problem Quantifying the risk and return characteristics of music royalty assets.
method Fitting three discounted cashflow models to Royalty Exchange platform transactions and backtesting performance.
result Life of Rights music assets had risk and return characteristics comparable to stocks in the S\&P500 over 5 years.
Quasiregular curves are Hölder continuous and have higher integrability.
problem Understanding the Hölder continuity and integrability of quasiregular curves.
method Analyzing the Hölder continuity and integrability of curves defined by a K-quasiregular function with respect to a covector ω. result Quasiregular curves are (1/K)(∥ωVert/∣ω∣ℓ1)-Hölder continuous and have higher integrability. The study examines Lipschitz normally embedded Hölder triangles in 4D space.
problem Comparing ambient and outer Lipschitz geometry of Hölder triangles.
method Analyzes Lipschitz normally embedded Hölder triangles in \(\mathbb{R}^4\).
result Infinitely many equivalence classes of microknots.
Proposes a comprehensive framework for financial product lead recommendations using graph representation learning and link prediction.
problem Challenges in surface lead recommendations for financial products due to changing market scenarios and difficulty in capturing holder's mindset.
method Bi-partite graph representation of financial holders and funds, GraphSage model for learning representations, link prediction model for ranking recommendations.
result The proposed graph ML solution outperforms baseline by 42%, 22%, and 14% in hit rate for top-k recommendations (50, 100, 200) and 18%, 19%, and 18% on unseen holders.
New algorithm optimizes Hölder continuous functions efficiently.
problem Optimizing Hölder continuous multivariate functions.
method Uses a query creation rule for global optimization, avoiding proxy functions.
result Achieves an average regret bound of $O(T^{- racα{n}})$ for Hölder exponent α. Whereas subriemannian geometry usually deals with smooth horizontal distributions, partially hyperbolic dynamical systems provide many examples of subriemannian geometries defined by non-smooth (namely, Hölder continuous) distributions. These distributions are of great significance for the behavior of the parent dynami…
The paper proves optimal smoothness for certain Lagrangian graphs with specific Hölder continuity.
problem Optimal regularity for Hölder continuous Hamiltonian stationary Lagrangian graphs.
method Establishing smoothness conditions based on Hölder exponent and Lagrangian phase properties.
result Smoothness of graphs is achieved when Hölder exponent is strictly greater than 1/3 and Lagrangian phase is supercritical.
New metrics derived from Hölder distortion on Hitchin components.
problem Deriving metrics on Hitchin components from Hölder distortion.
method Expressing Thurston's metric in terms of Hölder regularity of boundary maps, associating stratified loci, and measuring relative Hölder distortion.
result First known geometrically significant complete metrics on Hitchin components for n>3. New proof shows no Hölder embeddings into Heisenberg group.
problem Non-existence of Hölder embeddings into Heisenberg group.
method Developed a new elementary proof method.
result Generalization of Gromov's theorem proven.
Study on Hölder continuity of complex Monge-Ampère solutions on Stein spaces.
problem Understanding continuity of solutions to complex Monge-Ampère equations on Stein spaces.
method Analyzing solutions with Lp densities and Hölder boundary data on Stein spaces with isolated singularities. result Solutions are Hölder continuous outside singular points if boundary data is Hölder continuous.
Study on Kähler-Ricci flow's Hölder regularity on compact manifolds.
problem Hölder regularity of Kähler-Ricci flow on compact Kähler manifolds.
method Adapting Hein-Tosatti's method for collapsing Calabi-Yau metrics, uniform spatial Hölder estimate obtained for all time.
result Uniform spatial Hölder estimate of Kähler-Ricci flow for all time.
Defines intrinsically Hölder sections in metric spaces.
problem Characterizing Hölder sections in metric spaces.
method Introducing intrinsically Hölder graphs, proving compactness, regularity, and extension theorems.
result Establishes properties for intrinsically Hölder graphs, including vector space, convex set, and equivalence relation.
We solve the Dirichlet problem for the complex Monge-Ampère equation on a strictly pseudoconvex with the right hand side being a positive Borel measure which is dominated by the Monge-Ampère measure of a Hölder continuous plurisubharmonic function. If the boundary data is continuous, then the solution is continuous. If…
Proves Hölder-type inequality for Lagrangians' distance.
problem Understanding the symplectic geometry of Lagrangians.
method Developed methods from previous works to establish the inequality.
result Established a Hölder-type inequality for the Hausdorff distance between Lagrangians.
PEARL uses AI to replicate private equity performance with liquid assets.
problem Lack of access to private equity due to high costs and complexity.
method Combines AI with liquid assets, incorporating asymmetry for better performance.
result Model outperforms liquid proxies and aligns with private equity benchmarks.
We show that a positive Borel measure of positive finite total mass, on compact Hermitian manifolds, admits a Holder continuous quasi-plurisubharmonic solution to the Monge-Ampere equation if and only if it is dominated locally by Monge-Ampere measures of Holder continuous plurisubharmonic functions.
Examines US equity risk premiums amid COVID-19.
problem Analyzing equity risk premiums during the pandemic.
method Not specified in the abstract.
result Not specified in the abstract.
Solves complex Monge-Ampère equations with Hölder continuous solutions in Kähler manifolds.
problem Finding Hölder continuous solutions to complex Monge-Ampère equations.
method Analyzes the complex Monge-Ampère equation in Kähler manifolds using Sobolev spaces and Hölder continuity.
result Hölder continuity of solutions is equivalent to the measure's Hölder continuity in a complex Sobolev space.
We study Hölder continuity of solutions to the Monge-Ampère equations on compact Kähler manifolds. In [DNS] the authors have shown that the measure ωun is moderate if u is Hölder continuous. We prove a theorem which is a partial converse to this result.
We show that the complex Monge-Ampere equation on a compact Kaehler manifold (X,ω) of dimension n admits a Holder continuous omega-psh solution if and only if its right-hand side is a positive measure with Holder continuous super-potential. This property is true in particular when the measure has locally Holder continu…
Study proves finiteness for distance functions on curved surfaces with controlled curvature.
problem Understanding distance functions on curved surfaces with Hölder continuous curvature.
method Proves a finiteness principle using Whitney extension theory for geodesics and points on Riemannian surfaces with Hölder continuous curvature.
result Establishes a finiteness principle for isometric embedding of metric spaces into Riemannian surfaces with controlled curvature.
Study continuity and Hölder estimates for solutions on Stein spaces.
problem Continuity and Hölder estimates for solutions to degenerate complex Monge-Ampère equations.
method Prove continuity up to the boundary and local Hölder estimates on the regular locus.
result Local Hölder estimates on the regular locus for solutions to degenerate complex Monge-Ampère equations.
New algorithm optimizes smooth functions with Hölder exponent > 1.
problem Optimizing smooth functions with unknown Hölder exponent > 1.
method Two-layer algorithms using misspecified linear/polynomial bandit algorithms in bins.
result Regret bound of O~(Td+2αd+α) for α>1. Pathwise uniqueness shown for specific stochastic equations.
problem Stochastic Volterra equations with singular kernels and Hölder coefficients.
method Established pathwise uniqueness through Hölder continuity of coefficients.
result Pathwise uniqueness and existence of unique strong solutions.
Stability and Hölder continuity of solutions to complex Monge-Ampère equations on compact Hermitian manifolds.
problem Establishing Hölder continuity of solutions to complex Monge-Ampère equations.
method Stability result for solutions in Lp space, Hölder continuity proof. result Solutions are Hölder continuous with the same exponent as in the Kähler case.
Equity risk premium is a central component of every risk and return model in finance and a key input to estimate costs of equity and capital in both corporate finance and valuation. An article by Damodaran examines three broad approaches for estimating the equity risk premium. The first is survey based, it consists in …
Paper defines topology automaton for Barański carpets and proves Hölder equivalence conditions.
problem Tackles Hölder equivalence of Barański carpets.
method Defines topology automaton and applies method from previous studies.
result Obtains sufficient condition for Hölder equivalence of Barański carpets.
Extends Young integral to Hölder differential forms in arbitrary dimensions.
problem Extending the Young integral to Hölder differential forms in arbitrary dimensions.
method Introducing a complex of cochains, α-fractional charges, and defining the exterior product between them.
result The exterior product between α-fractional and β-fractional charges is defined when α + β > 1.
Study finds no significant impact of US sovereign credit rating downgrade on equity market.
problem Impact of US sovereign credit rating downgrade on US equity market.
method Event study methodology using three companies and S&P500 index.
result No significant effects of US sovereign credit rating downgrade on US equity market.