scholarly journals Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio

2018 ◽  
Vol 29 (3) ◽  
pp. 773-803 ◽  
Author(s):  
Christa Cuchiero ◽  
Walter Schachermayer ◽  
Ting‐Kam Leonard Wong
Keyword(s):  
Portfolio Theory ◽  
Stochastic Portfolio Theory ◽  
Numéraire Portfolio ◽  
Universal Portfolio ◽  
Numeraire Portfolio

The numeraire portfolio: a new perspective on financial theory

1997 ◽  
Vol 3 (4) ◽  
pp. 291-309 ◽  
Author(s):  
I. Bajeux-Besnainou ◽  
R. Portait
Keyword(s):  
Numéraire Portfolio ◽  
New Perspective ◽  
Numeraire Portfolio

Stochastic portfolio theory and the low beta anomaly

2018 ◽  
Vol 25 (5) ◽  
pp. 415-434
Author(s):  
Anna Agapova ◽  
Robert Ferguson ◽  
Dean Leistikow
Keyword(s):  
Portfolio Theory ◽  
Stochastic Portfolio Theory

PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS

2012 ◽  
Vol 15 (04) ◽  
pp. 1250025 ◽  
Author(s):  
FRANCESCA BIAGINI ◽  
JAN WIDENMANN
Keyword(s):  
Markov Chain ◽  
Unemployment Insurance ◽  
Private Insurance ◽  
General Setting ◽  
Simple Assumption ◽  
Doubly Stochastic ◽  
Numéraire Portfolio ◽  
Public Data ◽  
Benchmark Approach ◽  
Numeraire Portfolio

This paper provides a new approach for modeling and calculating premiums for unemployment insurance products. The innovative modeling concept consists of combining the benchmark approach with its real-world pricing formula and Markov chain techniques in a doubly stochastic setting. We describe individual insurance claims based on a special type of unemployment insurance contracts, which are offered on the private insurance market. The pricing formulas are first given in a general setting and then specified under the assumption that the individual employment-unemployment process of an employee follows a time-homogeneous doubly stochastic Markov chain. In this framework, formulas for the premiums are provided depending on the ℙ-numéraire portfolio of the benchmark approach. Under a simple assumption on the ℙ-numéraire portfolio, the model is tested on its sensitivities to several parameters. With the same specification the model's employment and unemployment intensities are estimated on public data of the Federal Employment Office in Germany.

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