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Advances in Financial and Insurance Derivatives
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Advances in Financial and Insurance Derivatives

A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Mathematics and Finance".

Deadline for manuscript submissions: closed (20 April 2023) | Viewed by 3466

Special Issue Editor

Prof. Dr. Thorsten Rheinländer

E-Mail Website
Guest Editor
Financial & Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstr. 8/E105-1,1040 Vienna, Austria
Interests: stochastic finance and insurance; hedging and valuation of derivatives; illiquid financial markets and the limit order book

Special Issue Information

Dear Colleagues,

Financial and insurance markets are in practice genuinely incomplete; that is, there are more sources of risk than traded assets. This is encountered for both volatility and systematic mortality risk. While in financial markets valuation and hedging is performed with respect to some risk-neutral measure (martingale measure), in insurance markets there is often a lack of traded assets, so actuaries have to resort to some consistent valuation principles.

In this Special Issue, we welcome high-quality research papers highlighting the valuation and hedging of derivatives in incomplete financial and insurance markets. You are invited to submit your research on relevant topics, such as options in stochastic volatility models, unit-linked life insurance, and mortality derivatives.

Prof. Dr. Thorsten Rheinländer
Guest Editor

Manuscript Submission Information

Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.

Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • incomplete financial and insurance markets
  • valuation and hedging of derivatives
  • stochastic volatility
  • unit-linked life insurance
  • systematic mortality risk

Published Papers (2 papers)

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Research

14 pages, 400 KiB  
Article
Last-Passage American Cancelable Option in Lévy Models
by Zbigniew Palmowski and Paweł Stȩpniak
J. Risk Financial Manag. 2023, 16(2), 82; https://doi.org/10.3390/jrfm16020082 - 29 Jan 2023
Cited by 1 | Viewed by 977
Abstract
We derive the explicit price of the perpetual American put option canceled at the last-passage time of the underlying above some fixed level. We assume that the asset process is governed by a geometric spectrally negative Lévy process. We show that the optimal [...] Read more.
We derive the explicit price of the perpetual American put option canceled at the last-passage time of the underlying above some fixed level. We assume that the asset process is governed by a geometric spectrally negative Lévy process. We show that the optimal exercise time is the first moment when the asset price process drops below an optimal threshold. We perform numerical analysis considering classical Black–Scholes models and the model where the logarithm of the asset price has additional exponential downward shocks. The proof is based on some martingale arguments and the fluctuation theory of Lévy processes. Full article
(This article belongs to the Special Issue Advances in Financial and Insurance Derivatives)
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20 pages, 1259 KiB  
Article
Insurance Inclusion in Uganda: Impact of Perceived Value, Insurance Literacy and Perceived Trust
by Archillies Kiwanuka and Athenia Bongani Sibindi
J. Risk Financial Manag. 2023, 16(2), 81; https://doi.org/10.3390/jrfm16020081 - 28 Jan 2023
Cited by 2 | Viewed by 2176
Abstract
The study examined the impact of perceived value, insurance literacy and perceived trust on insurance inclusion in Uganda. The study employed a cross-sectional design to solicit responses from 400 individuals that voluntarily enrolled on an insurance programme. The study hypotheses were tested using [...] Read more.
The study examined the impact of perceived value, insurance literacy and perceived trust on insurance inclusion in Uganda. The study employed a cross-sectional design to solicit responses from 400 individuals that voluntarily enrolled on an insurance programme. The study hypotheses were tested using Covariance-Based Structural Equation Modelling. The results showed that perceived value, insurance literacy and perceived trust have a significant and positive prediction of insurance inclusion in Uganda. However, perceived trust explained more of the variations in insurance inclusion than perceived value and insurance literacy. Overall, the predictor variables explained 63.2% of the variance in insurance inclusion. This study contributes to the limited nascent literature on insurance inclusion. The implication of this study is that insurance providers need to focus on trust and delivering value to customers in order to promote insurance inclusion. Further, the study proffers advice to policymakers to include insurance literacy in the national financial inclusion strategies to foster insurance inclusion. Full article
(This article belongs to the Special Issue Advances in Financial and Insurance Derivatives)
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