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Most foot-propelled swimming birds sweep their webbed feet backwards in a curved path that lies in a plane aligned with the swimming direction. When the foot passes the most outward position, near the beginning of the power stroke, a tangent to the foot trajectory is parallel with the line of swimming and the foot web is perpendicular to it. But later in(More)
We consider a financial market driven by a continuous time homogeneous Markov chain. Conditions for absence of arbitrage and for completeness are spelled out, non-arbitrage pricing of derivatives is discussed, and details are worked out for some cases. Closed form expressions are obtained for interest rate derivatives. Computations typically amount to(More)
My interest in the topics dealt with in this thesis was aroused during my graduate studies and the preparation of my master's thesis. I realized a number of open questions and wanted to search for some of the answers. This search started with my master's thesis and continues with the present thesis. Chapter 2 is closely related to parts of my master's(More)
We consider the problem of optimally designing longevity risk transfers under asymmetric information. We focus on holders of longevity exposures that have superior knowledge of the underlying demographic risks, but are willing to take them off their balance sheets because of capital requirements. In equilibrium, they transfer longevity risk to uninformed(More)
Conditional expected values in Markov chains are solutions to a set of associated backward differential equations, which may be ordinary or partial depending on the number of relevant state variables. This paper investigates the validity of these differential equations by locating the points of non-smoothness of the state-wise conditional expected values,(More)
A Markov chain model is taken to describe the development of a multi-state life insurance policy or portfolio in a stochastic economic-demographic environment. It is assumed that there exists an arbitrage-free market with tradeable securities derived from demographic indices. Adopting a mean-variance criterion, two problems are formulated and solved. First,(More)
We consider a …nancial market driven by a continuous time homogeneous Markov chain. Conditions for absence of arbitrage and for completeness are spelled out, non-arbitrage pricing of derivatives is discussed, and details are worked out for a number of cases. Closed form expressions are obtained for interest rate derivatives. Computations typically amount to(More)
When geometric similarity, or isometry, prevails among animals of different sizes their form and proportions are similar. Weight increases as the cube of the length dimension, while cross-sectional areas increase as its square, so in load-bearing structural elements the stress, caused by the body weight, increases in direct proportion to the length(More)
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