New working papers

New SSRN working papers available:

Bohnert, A., N. Gatzert and P. L. Jørgensen. "Asset and Liability Composition in Participating Life Insurance: The Impact on Shortfall Risk and Shareholder Value"
(HPCFinance keywords: Aarhus University, Life insurance)

Dempster, M. A. H., Evans, J. L. and Medova, E., "Developing a Practical Yield Curve Model: An Odyssey"

(HPCFinance keywords: Cambridge Systems Associates, Yield Curve Modelling)

Gatzert, N. and P. L. Jørgensen. "On Risk Charges and Shadow Account Options in Pension Funds"
(HPCFinance keywords: Aarhus University, Pension contracts, Options, Guarantees, Valuation)

Kanniainen, J. "Estimating and Using GARCH Models with VIX Data for Option Valuation"
(HPCFinance keywords: TUT, Techila, Azure cloud, Distrubuted computing, GARCH models, Option valuations, Estimation)