Blar i Discussion papers (FOR) på forfatter "Persson, Svein-Arne"
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Callable risky perpetual debt : options, pricing and bankruptcy implications
Mjøs, Aksel; Persson, Svein-Arne (Discussion paper, Working paper, 2006-01-05)Issuances of perpetual risky debt are often motivated by capital requirements for financial institutions. However, observed market practice indicates that actual maturity equals first possible call date. We analyze callable ... -
Continuous monitoring : look before you leap
Lindset, Snorre; Persson, Svein-Arne (Discussion paper, Working paper, 2008-03)We present a model for pricing credit risk protection for a limited liability non-life insurance company. The protection is typically provided by a guaranty fund. In the case of continuous monitoring, i.e., where the market ... -
Credit spreads and incomplete information
Lindset, Snorre; Lund, Arne-Christian; Persson, Svein-Arne (Discussion paper, Working paper, 2008-03)A new model is presented which produces credit spreads that do not converge to zero for short maturities. Our set-up includes incomplete, i.e., delayed and asymmetric information. When the financial market observes the ... -
Design and pricing of equity-linked life insurance under stochastic interest rates
Bacinello, Anna Rita; Persson, Svein-Arne (Discussion paper, Working paper, 1998-11)A valuation model for equity-linked life insurance contracts incorporating stochastic interest rates is presented. Our model generalizes some previous pricing results based on deterministic interest rates. Moreover, a ... -
Guaranteed investment contracts: distributed and undistributed excess return
Miltersen, Kristian R.; Persson, Svein-Arne (Discussion paper, Working paper, 2000)Annual minimum rate of return guarantees are analyzed together with rules for distribution of positive excess return, i.e. investment returns in excess of the guaranteed minimum return. Together with the level of the annual ... -
International comparison of interest rate guarantees in life insurance
Cummins, J. David; Miltersen, Kristian R.; Persson, Svein-Arne (Discussion paper, Working paper, 2004-08)Interest rate guarantees seem to be included in life insurance and pension products in most countries. The exact implementations of these guarantees vary from country to country and are often linked to different distribution ... -
Level dependent annuities : defaults of multiple degrees
Mjøs, Aksel; Persson, Svein-Arne (Discussion paper, Working paper, 2008-03)Motivated by the risk of stopped debt coupon payments from a leveraged company in financial distress, we value a level dependent annuity contract where the annuity rate depends on the value of an underlying asset-process. ... -
Making Bank: Why High Bank Leverage is Optimal - for the Bank's Shareholders
Atreya, Nikhil; Mjøs, Aksel; Persson, Svein-Arne (Discussion paper;33/15, Working paper, 2015-11-27)We create a structural credit model to calculate the optimal capital structure for a bank that provides asset backed loans, such as corporate loans and mortgages. The bank's assets are loans, which means that the bank's ... -
A model of deferred callability in defautable debt
Mjøs, Aksel; Persson, Svein-Arne (Discussion paper, Working paper, 2009-05) -
New econ for life actuaries
Aase, Knut K.; Persson, Svein-Arne (Discussion paper, Working paper, 2003-03)In an editorial in ASTIN BULLETIN, Hans Bühlmann (2002) suggests it is time to change the teaching of life insurance theory towards the real life challenges of that industry. The following note is a response to this ... -
A note on a barrier exchange option : the world’s simplest option formula?
Lindset, Snorre; Persson, Svein-Arne (Discussion paper, Working paper, 2005-08)The paper analyzes a barrier exchange option that is knocked out the first time the two underlying assets have identical market values. Under rather general conditions regarding the price processes for the underlying assets, ... -
On the pricing of performance sensitive debt
Mjøs, Aksel; Persson, Svein-Arne; Myklebust, Tor Åge (Discussion paper, Working paper, 2011-03) -
Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
Miltersen, Kristian R.; Persson, Svein-Arne (Discussion paper, Working paper, 1998-07)Rate of return guarantees are included in many financial products, for example life insurance contracts or guaranteed investment contracts issued by investment banks. The holder of such a contract is guaranteed a fixed ...