An accurate calculation of premium reserves will ensure that the insurance company can pay claims. Premium are funds collected by companies which difference between sum insured and value payments during period prepared for claim payments. There several methods calculating reserves, but focus this study Zillmer method Sufficiency method, extensions prospective method. This aims to compare two us...

The current literature on optimal forest rotation makes the unrealistic assumption of constant interest rate even though harvesting decisions of forest stands are typically subject to long time horizons under which interest rates fluctuate and are subject to shocks. We apply the Wicksellian single rotation framework to cover the unexplored case of variable and stochastic interest rate. By model...

In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modeling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model parameters that switch according to a continuous-time observable Markov chain process....

We analyze the optimal consumption program of an infinitely lived consumer who maximizes the discounted sum of utilities subject to a sequence of budget constraints where both the interest rate and his income are stochastic. We show that if the income and interest rate processes are sufficiently stochastic and the long run average rate of interest is greater than or equal to the discount rate, ...

making capital and investment is the main driving forces of economic development. based on the investment sensitivity to the changes of some of macro-economic variables and risk and uncertainty, the present study evaluated the effective factors on investment in private sector in iran during 1980-2007. at first, the uncertainty variables of real informal exchange rate, nominal interest rate and ...