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Multi-period guarantees are often embedded in life insurance con- tracts. In this paper we consider the problem of hedging these multi- period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We ¯nd that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we ¯nd the size of this rebalancing to be reduced. Transact...
This paper examines whether the existence and the timing of real balance effects contribute to the determination of the absolute price level, as suggested byPatinkin (1949,1965), and if they affect conditions for local equilibrium uniqueness and stability. I show that there exists a unique price level sequence that is consistent with an equilibrium under interest rate policy, only if beginning-of-period money yields transaction services. Predetermined real money balances can then serve as a state variable, implying that interest rate setting must be passive -a violation of the Taylor-principle - for unique, stable, and non-oscillatory equilibrium sequences. On the contrary, when the end-of-period money stock facilitatestransactions, the equilibrium displays nominal indeterminacy and equilibrium uniqueness requires an interest rate sett...
Several Bacillus strains secrete phytase, an enzyme catalysing dephosphorylation of myo-inositol hexakisphosphate (phytate). The monocistronic phyC (phytase) gene from environmental Bacillus amyloliquefaciens FZB45 was identified as a member of the phosphate-starvation inducible PhoPR regulon. The transcriptional start was determined downstream of a sigmaA-like promoter region located 27 bp upstream of the translation start codon. Inspection of the phyC promoter sequence revealed an unusual structure, since the -35 and -10 region are separated by a window of 21 bp. In vitro transcription analysis established that PhoP-P is necessary to initiate the transcription from phyC promoter. PhoP binding boxes occurring in most B. subtilis promoters activated by PhoP consist of at least four TTAACA-like sequences repeated at intervals of 5-6 bp...
Measuring dependence in a multivariate time series is tantamount to modelling its dynamicstructure in space and time. In the context of a multivariate normally distributed time series,the evolution of the covariance (or correlation) matrix over time describes this dynamic. A wide variety of applications, though, requires a modelling framework different from the multivariate normal. In risk management the non-normal behaviour of most financial time series calls for nonlinear (i.e. non-gaussian) dependency. The correct modelling of non-gaussian dependencies is therefore a key issue in the analysis of multivariate time series. In this paper we use copulaefunctions with adaptively estimated time varying parameters for modelling the distribution of returns, free from the usual normality assumptions. Further, we apply copulae to estimation o...
Research on dependable computing is undergoing a shift from traditional fault tolerance towards techniques that handle faults proactively. These techniques comprise two parts: (a) prediction of failures and (b) actions that are performed in case of an upcoming failure. This work provides the first reliability model that incorporates both correct and false predictions as well as both types of actions: failure prevention and recovery preparation. Closed form solutions to availability, reliability and hazard rate are provided.
This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price movements is not always negatively correlated as assumed in the stylized facts in the finance literature. Depending on the sampling frequency, the estimated copulas exhibit some kind of overreaction phenomena and multiple tail dependence, revealing patterns similar to the compass rose.
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