Description: This presentation discusses a technique to reduce the bias from using Monte Carlo simulation to value American options.

Description: Presented at June 1996 Spring Meeting. Provides overview of modern pricing of assets such as derivatives. It includes theory and practical applications, particularly how they relate to insurance companies.

Description: Article discusses possible effects of negative interest rates on product development, risk management, investment management and in-force management.

Description: This paper shows that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments. Two applications are presented, the first for valuing a European call option and the second for pricing derivative securities of multiple risky assets.

Description: Presentation discussing modeling of daily and hourly rainfall, both occurrence and amount. These distributions would be needed to price derivative or insurance contracts involving rainfall amounts.

Description: A European call option pricing model similar to the Black-Scholes equation [1] is derived. Like the Black-Scholes equation, the model is based upon an assumption of a lognormal distribution of the price of a risky, non-dividend-paying security at a given point in the future. However, unlike Black-Scholes, the market's risk preference is recognized through a parameter that permits refinement of the model to agree either with experience or with future advances in the underlying theory.

Description: This paper addresses rainfall insurance using financial derivatives. Usual modeling is done for temperature related products. The authors gathered rainfall data in Mexico City over a period of five decades. This showed that the time series data is stationary and normally distributed. Therefore, the authors applied a closed-form solution to value swaps, calls and puts, with and without limits. The model can be used for practical purpose of pricing rainfall derivatives. From Actuarial Research Clearing House, 2006.

Description: This paper presents a new methodology for obtaining fast algorithms and closed form solutions for pricing callable bonds in continuous time models. Results are directly applicable to regulatory scenario testing, immunization and market value accounting.