nep-ias New Economics Papers
on Insurance Economics
Issue of 2005‒05‒14
two papers chosen by
Soumitra K Mallick
Indian Institute of Social Welfare and Bussiness Management

  1. Optimal Unemployment Insurance and Voting By Andreas Pollak
  2. Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts By Nikita Ratanov

  1. By: Andreas Pollak (University of Freiburg)
    Abstract: The framework of a general equilibrium heterogeneous agent model is used to study the optimal design of an unemployment insurance (UI) scheme and the voting behaviour on unemployment policy reforms. In a first step, the optimal defined benefit and defined replacement ratio UI systems are obtained in simulations. Then, the question whether switching to such an optimal system from the status quo would be approved by a majority of the voters is explored. Finally, the transitional dynamics following a policy change are analysed. Accounting for this transition has an important influence on the voting outcome.
    Keywords: insurance, heterogeneous agents, job search, voting, human capital
    JEL: C61 D58 D78 E24 E61 J64 J65
    Date: 2005–05–12
  2. By: Nikita Ratanov
    Abstract: El documento desarrolla un modelo de mercado financiero basado en movimientos aleatorios con tiempo continuo, con velocidades constantes, alternates, y saltos cuando hay cambio en la velocidad. Si los saltos en la dirección tienen correspondencia con la dirección de la velocidad del comportamiento aleatorio subyacente, con respecto a la tasa interés, el modelo no presenta arbitraje y es completo. Se contruye en detalle las estrategias replicables para opciones y se obtiene una representación cerrada para el precio de las opciones.
    Keywords: modelo telegráfico con saltos
    JEL: G10
    Date: 2005–04–01

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