Pub Date : 2023-11-02DOI: 10.1007/s10203-023-00416-y
Emilio Barucci, Daniele Marazzina, Edit Rroji
Abstract We use market data to reconstruct the volatility adjustment, a component of the Solvency II framework designed to mitigate the impact of market risk on insurance liabilities, of different countries on a monthly basis. Only partially in agreement with the regulation, we observe that the volatility adjustment, especially the proposed new mechanism, is not affected by credit quality, illiquidity of bonds, and investors’ risk appetite, but by turbulence in financial markets and equity market performance. We also show that the new mechanism proposed by EIOPA performs differently with respect to the one in force at the time of writing the current paper, yielding higher and smoother values and providing a relief to insurance companies on the Solvency II capital requirement front.
{"title":"An investigation of the Volatility Adjustment","authors":"Emilio Barucci, Daniele Marazzina, Edit Rroji","doi":"10.1007/s10203-023-00416-y","DOIUrl":"https://doi.org/10.1007/s10203-023-00416-y","url":null,"abstract":"Abstract We use market data to reconstruct the volatility adjustment, a component of the Solvency II framework designed to mitigate the impact of market risk on insurance liabilities, of different countries on a monthly basis. Only partially in agreement with the regulation, we observe that the volatility adjustment, especially the proposed new mechanism, is not affected by credit quality, illiquidity of bonds, and investors’ risk appetite, but by turbulence in financial markets and equity market performance. We also show that the new mechanism proposed by EIOPA performs differently with respect to the one in force at the time of writing the current paper, yielding higher and smoother values and providing a relief to insurance companies on the Solvency II capital requirement front.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"13 11","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135973142","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-24DOI: 10.1007/s10203-023-00415-z
Anthony Neuberger
{"title":"The Black–Scholes paper: a personal perspective","authors":"Anthony Neuberger","doi":"10.1007/s10203-023-00415-z","DOIUrl":"https://doi.org/10.1007/s10203-023-00415-z","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"51 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135273366","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-10-16DOI: 10.1007/s10203-023-00414-0
Daniel dos Santos Baptista, Nuno M. Brites, Alfredo D. Egídio dos Reis
{"title":"Stochastic differential equations death rates models: the Portuguese case","authors":"Daniel dos Santos Baptista, Nuno M. Brites, Alfredo D. Egídio dos Reis","doi":"10.1007/s10203-023-00414-0","DOIUrl":"https://doi.org/10.1007/s10203-023-00414-0","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136079253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-28DOI: 10.1007/s10203-023-00413-1
Laura Ziani, Flavio Pressacco
Abstract In this paper, five different types of amortization plans with constant instalments are analyzed with a unified approach: a pair of plans in simple interest regime, a pair of plans in compound interest regime and a plan in a hybrid context. In the two pairs there are a main plan and an auxiliary one. Here we give a comprehensive discussion of all the rules governing these plans, showing similarities and differences. Furthermore, the pair of plans in simple interest regime is at the origin of the hybrid plan, which surprisingly turns out to be a (main) plan in compound regime with variable instalments.
{"title":"Amortization plans in simple, compound and hybrid framework: a unifying approach","authors":"Laura Ziani, Flavio Pressacco","doi":"10.1007/s10203-023-00413-1","DOIUrl":"https://doi.org/10.1007/s10203-023-00413-1","url":null,"abstract":"Abstract In this paper, five different types of amortization plans with constant instalments are analyzed with a unified approach: a pair of plans in simple interest regime, a pair of plans in compound interest regime and a plan in a hybrid context. In the two pairs there are a main plan and an auxiliary one. Here we give a comprehensive discussion of all the rules governing these plans, showing similarities and differences. Furthermore, the pair of plans in simple interest regime is at the origin of the hybrid plan, which surprisingly turns out to be a (main) plan in compound regime with variable instalments.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135386841","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-09-11DOI: 10.1007/s10203-023-00412-2
Hélène Halconruy
{"title":"The insider trading problem in a jump-binomial model","authors":"Hélène Halconruy","doi":"10.1007/s10203-023-00412-2","DOIUrl":"https://doi.org/10.1007/s10203-023-00412-2","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135939219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-14DOI: 10.1007/s10203-023-00411-3
Mogens Steffensen, Julie Bjørner Søe
{"title":"What is the value of the annuity market?","authors":"Mogens Steffensen, Julie Bjørner Søe","doi":"10.1007/s10203-023-00411-3","DOIUrl":"https://doi.org/10.1007/s10203-023-00411-3","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"20 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81368652","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-12DOI: 10.1007/s10203-023-00406-0
Alessandro Ramponi, M. Elisabetta Tessitore
Abstract We devise a theoretical model for the optimal dynamical control of an infectious disease whose diffusion is described by the SVIR compartmental model. The control is realized through implementing social rules to reduce the disease’s spread, which often implies substantial economic and social costs. We model this trade-off by introducing a functional depending on three terms: a social cost function, the cost supported by the healthcare system for the infected population, and the cost of the vaccination campaign. Using Pontryagin’s Maximum Principle, we are able to characterize the optimal control strategy in three instances of the social cost function, the linear, quadratic, and exponential models, respectively. Finally, we present a set of results on the numerical solution of the optimally controlled system by using Italian data from the recent COVID-19 pandemics for the model calibration.
{"title":"The economic cost of social distancing during a pandemic: an optimal control approach in the SVIR model","authors":"Alessandro Ramponi, M. Elisabetta Tessitore","doi":"10.1007/s10203-023-00406-0","DOIUrl":"https://doi.org/10.1007/s10203-023-00406-0","url":null,"abstract":"Abstract We devise a theoretical model for the optimal dynamical control of an infectious disease whose diffusion is described by the SVIR compartmental model. The control is realized through implementing social rules to reduce the disease’s spread, which often implies substantial economic and social costs. We model this trade-off by introducing a functional depending on three terms: a social cost function, the cost supported by the healthcare system for the infected population, and the cost of the vaccination campaign. Using Pontryagin’s Maximum Principle, we are able to characterize the optimal control strategy in three instances of the social cost function, the linear, quadratic, and exponential models, respectively. Finally, we present a set of results on the numerical solution of the optimally controlled system by using Italian data from the recent COVID-19 pandemics for the model calibration.","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134977854","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-12DOI: 10.1007/s10203-023-00408-y
S. Bertarelli, C. Lodi, S. Ragni
{"title":"Recycled and non-recycled exhaustible resource: an optimal control strategy for input allocation","authors":"S. Bertarelli, C. Lodi, S. Ragni","doi":"10.1007/s10203-023-00408-y","DOIUrl":"https://doi.org/10.1007/s10203-023-00408-y","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"16 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82883368","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-12DOI: 10.1007/s10203-023-00410-4
Somayye Karimi Omshi, S. Kordrostami, A. Amirteimoori, Armin Ghane Kanafi
{"title":"Optimal scale sizes in economic efficiency models with integer measures: a case study of foundry industry","authors":"Somayye Karimi Omshi, S. Kordrostami, A. Amirteimoori, Armin Ghane Kanafi","doi":"10.1007/s10203-023-00410-4","DOIUrl":"https://doi.org/10.1007/s10203-023-00410-4","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"17 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81471897","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-08-02DOI: 10.1007/s10203-023-00407-z
Chinonso I. Nwankwo, W. Dai
{"title":"Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model","authors":"Chinonso I. Nwankwo, W. Dai","doi":"10.1007/s10203-023-00407-z","DOIUrl":"https://doi.org/10.1007/s10203-023-00407-z","url":null,"abstract":"","PeriodicalId":43711,"journal":{"name":"Decisions in Economics and Finance","volume":"115 1","pages":""},"PeriodicalIF":1.1,"publicationDate":"2023-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79382622","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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