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題名 廣義財務模型於保險公司資產配置與破產成本之研究
Asset allocation and bankruptcy problems of insurance company in general financial models作者 楊尚穎
Yang, Shang Yin貢獻者 張士傑
Chang, Shih Chieh
楊尚穎
Yang, Shang Yin關鍵詞 可預測性
動態學習
最低保證
巴黎式選擇權
濾波器
安定基金
predictability
dynamic learning
minimal guarantee
Parisian option
filtering
guaranty fund日期 2010 上傳時間 4-Sep-2013 14:58:47 (UTC+8) 摘要 這篇論文研究跨國投資與監理寬容下保險公司之破產問題，同時論文的相關內容簡述於論文第一章中。第二章研究考慮匯率可預測下對跨國投資人資產配置的影響，結果顯示匯率可預測性能有效的提升投資人期末財富。第三章考慮監理寬容下保險公司的破產問題，在美國破產保護法第11章的架構下，保險人與被保險人之權利義務關係，可利用巴黎式選擇權描述，同時建構保證給付指標來衡量不同監理干預準則，數值結果顯示過於寬鬆的監理準則將導致被保險人的財務損失。第四章探討監理寬容下保險安定基金保險費率問題，依照美國破產保護法第11章的架構，安定基金保費可簡化成2個巴黎式選擇權，結果顯示，當前台灣保險單定基金費率有偏低的情形，建議主管機關訂定安定基金費率時需更加謹慎小心。
This thesis focuses on the international portfolio selection and the bankruptcy cost of the insurance company under regulatory forbearance. The main theme of this thesis is outlined in chapter 1, which also serves as an introduction to the three papers (appearing here as Chapter 2, Chapter 3 and Chapter 4) collected in this thesis. In the theme of the international portfolio selection, Chapter 2 investigates the investment behaviors when learning effect is considered. According to the exchange rate predictability, the investor updates his information and adjusts his portfolio allocation. Finally, the numerical results show that the learning mechanism significantly improves the terminal wealth.In the theme of the regulatory forbearance, Chapter 3 provides an illustration of the impact on the ruin cost due to regulatory forbearance. The concept of the U.S. Chapter 11 bankruptcy code is employed to determine regulatory forbearance. Throughout the framework of Parisian option, a quantitative index of regulatory forbearance called Guarantee Benefit Index (GBI) is developed. The GBI is used to evaluate the different supervisory intervention criteria i.e., relative and absolute intervention criteria. Finally, numerical analysis is performed to illustrate the influence of different financial factors and the intervention criteria.Another important issue in bankruptcy problem is discussed in Chapter 4, i.e., the cost of insurance guaranty fund. It is important to determine the cost of bankruptcy when the insolvent insurance company is took over by the government. Under the U.S. Chapter 11 bankruptcy code, the cost of guaranty fund can be determined through Parisian options. Results show that the current premium rates of Taiwan insurance guarantee fund are far from risk sensitive. Hence the results suggest the government should more prudent to face the bankruptcy problem in insurance industry.參考文獻 Allen, H. and M. P. Taylor, 1990, “Charts, Noise and Fundamentals in the Foreign Exchange Market,” Economic Journal 100, 49–59.Allen, H. and M. P. Taylor, 1992, “Chartist Analysis,” In: Milgate, M., Newman, P., Eatwell, J. (Eds.), The New Palgrave Dictionary of Money and Finance. MacMillan, London. Andersen, L. and R. Brotherton-Ratcliffe, 1996, “Exact exotics,” Risk 9, 85–89.Anderson, R. W. and S. M. Sundaresan, 1996, “The design and valuation of debt contracts,” Review of Financial Studies 9, 37–68.Azéma, J. and M. Yor, 1989, “Etude d`une martingale remarquable,” In: Séminaire de Probabilités XXIIILectures Notes in Math. vol. 1372, Springer, Berlin, pp. 88–130.Avellaneda, M. and L. Wu, 1999, “Pricing Parisian-style options with a lattice method,” International Journal of Theoretical and Applied Finance 2, 1–16.Barberis, N., 2000, “Investing for the Long Run when Returns are Predictable,” Journal of Finance 55, 225-264.Bawa, V. S., S. J. Brown, and R. W. Klein, 1979, “Estimation Risk and Optimal Portfolio Choice,” North-Holland, New York.Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005a, “Market value of life insurance contracts under stochastic interest rates and default risk,” Insurance: Mathematics and Economics 36, 499–516.Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005b, “A new procedure for pricing Parisian options,” The Journal of Derivatives 12, 45-53.Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2006, “Development and pricing of a new participating contract,” North American Actuarial Journal 10, 179–195.Black, F. and M. Scholes, 1973, “The pricing of options and corporate liabilities,” Journal of Political Economy 81, 637-654.Black, F. and J. C. Cox, 1976, “Valuing corporate securities: Some effects of bond indenture provisions,” Journal of Finance 31, 351–367.Brandt, M. W., 1999, “Estimating Portfolio and Consumption Choice: A Conditional Euler Equation Approach,” Journal of Finance 54, 1609-1645.Brennan, M. J., E.S. Schwartz, and R. Lagnado, 1997, “Strategic Asset Allocation,” Journal of Economic Dynamics and Control 21, 1377-1403.Brewer III, E., T. S. Mondschean, and P. E. Strahan, 1997, “The role of monitoring in reducing the moral hazard problem associated with government guarantees: evidence from the life insurance industry,” Journal of Risk and Insurance 64, 301–322.Briys, E. and F. de Varenne, 1994, “Life insurance in a contingent claim framework: Pricing and regulatory implications,” Geneva Papers on Risk and Insurance Theory 19, 53-72.Briys, E. and F. de Varenne, 1997, “On the risk of insurance liabilities: Debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694.Campbell, J. Y., and L. M. Viceira, 1999, “Consumption and Portfolio Decisions when Expected Returns are Time Varying,” Quarterly Journal of Economics 114, 433-495..Chen, A. and M. Suchanecki, 2007, “Default risk, bankruptcy procedures and the market value of life insurance liabilities,” Insurance: Mathematics and Economics 40, 231-255.Chesney, M., M. Jeanblanc-Picqué and M. Yor, 1997, “Brownian excursions and Parisian barrier options,” Advances in Applied Probability 29, 165-184.Cheung, Y.-W., M. D. Chinn, 1999, “Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders,” NBER Working paper No. 7417. Costabile, M., 2002, “A combinatorial approach for pricing Parisian options,” Decisions in Economics and Finance 25, 111-125Cox, J. and C. F. Huang, 1989, “Optimal Consumption and Portfolio Polices when Asset Prices follow a Diffusion Process,” Journal of Economic Theory 49, 33-83.Cox, J. and C. F. Huang, 1991, “A Variational Problem arisen in Financial Economics,” Journal of Mathematical Economics 20, 465-487Cummins, J. D., 1988, “Risk-based premiums for insurance guaranty funds,” Journal of Finance 43, 823-839.Detemple, J. B., 1986, “Asset Pricing in a Production Economy with Incomplete Information,” Journal of Finance 41, 383-391.Dothan, M. U., and F. David, 1986, “Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy,” Journal of Finance 41, 369-382.Downs, D. H., and D. W. Sommer, 1999, “Monitoring, Ownership, and Risk-Taking: The Impact of Guaranty Funds,” Journal of Risk and Insurance 66, 477-497.Duan, J.C. and M. T. Yu, 2005, “Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rat and catastrophe risk,” Journal of Banking and Finance 29, 2435–2454.Duffie, J. D. and C. F. Huang, 1985, “Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities,” Econometrica 53 1337-1356.Fan, H. and S. M. Sundaresan, 2000, “Debt valuation, renegotiation, and optimal dividend policy,” Review of Financial Studies 13, 1057–1099.Feldman, D., 1992, “Logarithmic Preferences, Myopic Decisions, and Incomplete Information,” Journal of Financial and Quantitative Analysis 27, 619-629.Francois, P. and E. Morellec, 2004, “Capital structure and asset prices: Some effects of bankruptcy procedures,” Journal of Business 77, 387–412.Franks, J. R. and W.f N. Torous, 1989, “An empirical investigation of U.S. firms in reorganization,” Journal of Finance 44, 747–769.Gennotte, G., 1986, “Optimal Portfolio Choice under Incomplete Information,” Journal of Finance 41, 733-746.Goldstein, R., N. Ju and H. Leland, 2001, “An EBIT-based model of dynamic capital structure,” Journal of Business 74, 483–512.Grauer, R. R., and N. H. Hakansson, 1987, “Gains from international diversification - 1968-85 returns on portfolios of stocks and bonds,” Journal of Finance 42, 721-739.Grosen, A. and P. L. Jogensen, 2002, “Life insurance liabilities at market value: An analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework,” Journal of Risk and Insurance 69, 63-91.Haber, R. J., P. J. Schonbucher and P. Wilmott, 1999, “Pricing Parisian options,” The Journal of Derivatives 6, 71–79.Hull, J. and A. White, 1990, "Pricing Interest Rate Derivative Securities,`` Review of Financial Studies 3, 573-92.Kandel, S. and R. F. Stambaugh, 1996, “On the Predictability of Stock Returns: An Asset-allocation Perspective,” Journal of Finance 51, 385-424.Karatzas, I., J. P. Lehoczky, and S. Shreve, 1987. “Optimal Portfolio and Consumption Decisions for a Small Investor on a finite horizon," SIAM Journal of Control and Optimization 25, 1557-1586.Kilian, L., M. P. Taylor, 2003, “Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates,” Journal of International Economics 60, 85-107.Labart, C. and J. Lelong, 2009, “Pricing Parisian options using Laplace transforms,” Bankers, Markets & Investors 99, 29-43.Lee, S. J., D. Mayers, and C.W. Smith, 1997, “Guaranty funds and risk-taking evidence from the insurance industry,” Journal of Financial Economics, 44: 3-24Leland, H. E., 1994, “Corporate debt value, bond covenants, and optimal capital structure,” Journal of Finance 49, 1213–1252.Levy, H. and M. Sarnat, 1970, “International Diversification of Investment Portfolios,” American Economic Review 60, 668-675.Lioui, A. and P. Poncet, 2003, “International Asset Allocation: a New Perspective,” Journal of Banking and Finance 27, 2203-2230.Lipster, R. S. and A. N. Shiryayev, 2001, Statistics of Random Processes II: Applications, Springer-Verlag, New York.Liu, J., 2007. “Portfolio Selection in Stochastic Environments,” Review of Financial Studies 20, 1-39.Long, J. B., 1990, “The Numeraire Portfolio,” Journal of Financial Economics 26, 29-69.Longstaff, F. A., 1990, “Pricing options with extendible maturities: Analysis and applications,” Journal of Finance 45, 935–957.Lynch, A., and B. Pierluigi, 2000, “Predictability and Transaction Costs: The Impact on Rebalancing Rules and Behavior,” Journal of Finance 55 2285-2309.Mark, N.C., 1995, “Exchange Rates and Fundamentals: Evidence on Long-horizon Predictability.” American Economic Review 85, 201–218. Meese, R. and K. Rogoff, 1983, “Empirical Exchange Rate Models of the Seventies: Do They Fit out of Sample?” Journal of International Economics 14, 3–24.Meese, R. and K. Rogoff, 1988, “Was it Real? The Exchange-rate Interest Differential Relation over the Modern Floating-rate Period,” Journal of Finance 43, 933-948.Mella-Barral, P. and W. Perraudin, 1997, “Strategic debt service,” Journal of Finance 52, 531–556.Mello, A. S. and J. E. Parsons, 1992, “Measuring the agency cost of debt,” Journal of Finance, 47, 1887–1904.Merton, R. C., 1969, “Lifetime Portfolio Selection under Uncertainty: The Continuous-time Case,” Review of Economics and Statistics 51, 247-257.Merton, R. C., 1971, “Optimum Consumption and Portfolio Rules in a Continuous Time Model,” Journal of Economic Theory 3, 373-413Merton, R. C., 1973, “Theory of rational option pricing,” Bell Journal of Economic and Management Science 4, 141–183.Merton, R. C., 1974, “On the pricing of corporate debt: the risk structure of interest rates,” Journal of Finance 29, 449-470.Merton, R. C., 1976, “Option Pricing When Underlying Stock Returns are Discontinuous,” Journal of Financial Economics 3, 125-144.Merton, R. C., 1977, “An analytic derivation of the cost of deposit insurance and loan guarantees: an application of modern option pricing theory,” Journal of Banking and Finance 1, 3-11.Merton, R. C., 1978, “On the cost of deposit insurance when there are surveillance costs,” Journal of Business 51, 439-452.Merton, R. C., 1989, “On the application of the continuous-time theory of finance to financial intermediation and insurance,” The Geneva Papers on Risk and Insurance Theory 14, 225-262.Merton, R. C., 1992, Continuous Time Finance. Oxford, Blackwell.Molodtsova, T. and D. H. Papell, 2009, “Out-of-sample exchange rate predictability with Taylor rule fundamentals,” Journal of International Economics 77, 167–180.Morellec, E., 2001, “Asset liquidity, capital structure, and secured debt,” Journal of Financial Economics 61, 173–206.Pliska, S., 1986, “A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios,” Mathematics of Operations Research 11, 371-382.Rodriguez, J. F., 2003, “Hedging Demands, Incomplete Markets, and Imperfect Information". Working Paper, Sloan School of Managements, Massachusetts Institute of Technology.Rudof, M. and W. T. Ziemba, 2004, “Intertemporal Surplus Management,” Journal of Economic Dynamics and Control 28, 975-990.Solnik, B., 1974, “An Equilibrium Model of the International Capital Market,” Journal of Economic Theory 8, 500-524.Stokes, N. and Z. Zhu, 1999, “A finite element platform for pricing path-dependent exotic options,” Proceedings of the Quantitative Methods in Finance Conference, Australia.Stulz, R. 1986, “Interest Rates and Monetary Policy Uncertainty,” Journal of Monetary Economics 17, 331-347.Stulz, R. 1987, “An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Non-traded Goods and Imperfect Information,” Journal of Political Economy 95, 1024-1040.Taylor, M. P. and H. Allen, 1992, “The Use of Technical Analysis in the Foreign Exchange Market,” Journal of International Money and Finance 11, 304–314. Vasicek, O., 1977, “Equilibrium characterization of term structure,” Journal of Financial Economics 5, 177-188.Vila, J. and T. Zariphopoulou, 1997, “Optimal Consumption and Portfolio Choice with Borrowing Constraints,” Journal of Economic Theory 77, 402-431.Williams, J. T., 1977, “Capital Asset Prices with Heterogeneous Beliefs,” Journal of Financial Economics 5, 219-241.Xia, Y. H., 2001, “Learning About Predictability: the Effects of Parameter Uncertainty on Dynamic Asset Allocation,” Journal of Finance 56, 205-246. 描述 博士
國立政治大學
風險管理與保險研究所
94358505
99資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094358505 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih Chieh en_US dc.contributor.author (Authors) 楊尚穎 zh_TW dc.contributor.author (Authors) Yang, Shang Yin en_US dc.creator (作者) 楊尚穎 zh_TW dc.creator (作者) Yang, Shang Yin en_US dc.date (日期) 2010 en_US dc.date.accessioned 4-Sep-2013 14:58:47 (UTC+8) - dc.date.available 4-Sep-2013 14:58:47 (UTC+8) - dc.date.issued (上傳時間) 4-Sep-2013 14:58:47 (UTC+8) - dc.identifier (Other Identifiers) G0094358505 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60036 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 94358505 zh_TW dc.description (描述) 99 zh_TW dc.description.abstract (摘要) 這篇論文研究跨國投資與監理寬容下保險公司之破產問題，同時論文的相關內容簡述於論文第一章中。第二章研究考慮匯率可預測下對跨國投資人資產配置的影響，結果顯示匯率可預測性能有效的提升投資人期末財富。第三章考慮監理寬容下保險公司的破產問題，在美國破產保護法第11章的架構下，保險人與被保險人之權利義務關係，可利用巴黎式選擇權描述，同時建構保證給付指標來衡量不同監理干預準則，數值結果顯示過於寬鬆的監理準則將導致被保險人的財務損失。第四章探討監理寬容下保險安定基金保險費率問題，依照美國破產保護法第11章的架構，安定基金保費可簡化成2個巴黎式選擇權，結果顯示，當前台灣保險單定基金費率有偏低的情形，建議主管機關訂定安定基金費率時需更加謹慎小心。 zh_TW dc.description.abstract (摘要) This thesis focuses on the international portfolio selection and the bankruptcy cost of the insurance company under regulatory forbearance. The main theme of this thesis is outlined in chapter 1, which also serves as an introduction to the three papers (appearing here as Chapter 2, Chapter 3 and Chapter 4) collected in this thesis. In the theme of the international portfolio selection, Chapter 2 investigates the investment behaviors when learning effect is considered. According to the exchange rate predictability, the investor updates his information and adjusts his portfolio allocation. Finally, the numerical results show that the learning mechanism significantly improves the terminal wealth.In the theme of the regulatory forbearance, Chapter 3 provides an illustration of the impact on the ruin cost due to regulatory forbearance. The concept of the U.S. Chapter 11 bankruptcy code is employed to determine regulatory forbearance. Throughout the framework of Parisian option, a quantitative index of regulatory forbearance called Guarantee Benefit Index (GBI) is developed. The GBI is used to evaluate the different supervisory intervention criteria i.e., relative and absolute intervention criteria. Finally, numerical analysis is performed to illustrate the influence of different financial factors and the intervention criteria.Another important issue in bankruptcy problem is discussed in Chapter 4, i.e., the cost of insurance guaranty fund. It is important to determine the cost of bankruptcy when the insolvent insurance company is took over by the government. Under the U.S. Chapter 11 bankruptcy code, the cost of guaranty fund can be determined through Parisian options. Results show that the current premium rates of Taiwan insurance guarantee fund are far from risk sensitive. Hence the results suggest the government should more prudent to face the bankruptcy problem in insurance industry. en_US dc.description.tableofcontents Abstract 1Chapter 1 Introduction 3Chapter 2 Exchange Rate Predictability in International Portfolio Selection 82.1. Introduction 82.2. The Market Framework and the Model 142.3. Learning Process 182.4. The Martingale Method 232.5. The Optimization Program 242.6. A Simplified Example Revisited 272.7. Numerical illustration 372.8. Conclusion 53Chapter 3 Too Big to Fail or Too Small to Save: Regulatory Forbearance and Guarantee Benefits in Taiwan’s Life Insurance Market 563.1. Introduction 563.2. Contract specification and Guarantee Benefit Index 613.2.1. Contract specification 613.2.2. Market environment 643.2.3. Quantitative index of regulatory forbearance 663.3. Relative and Absolute intervention criterion 703.4. Numerical analysis 753.4.3. Scenario analysis 783.4.3.1. The effects of riskless interest rate and minimal guarantee interest rate 783.4.3.2. The effect of asset volatility 803.4.3.3. The effect of different intervention criterion 813.5. Conclusion 82Chapter 4 An Analysis of the Bankruptcy Cost of Insurance Guaranty Fund under Regulatory Forbearance 844.1. Introduction and Motivation 844.1.1. Legacy Issues 874.1.2. Government Intervention and Forbearance 884.1.3. Literature Review of Bankruptcy Problem 894.2. The Model 944.2.1. Market Framework 944.2.2. Cost of Insurance Guaranty Fund 974.3. Numerical analysis 1014.4. Conclusion 115Appendix A 117Appendix A.1 117Appendix A.2 Parameter values used in numerical analysis 120Appendix A.3 Glossary of the notations 121Appendix B 124Appendix C: cost of bankruptcy of Guaranty fund 129Reference 131 zh_TW dc.format.extent 1351274 bytes - dc.format.mimetype application/pdf - dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094358505 en_US dc.subject (關鍵詞) 可預測性 zh_TW dc.subject (關鍵詞) 動態學習 zh_TW dc.subject (關鍵詞) 最低保證 zh_TW dc.subject (關鍵詞) 巴黎式選擇權 zh_TW dc.subject (關鍵詞) 濾波器 zh_TW dc.subject (關鍵詞) 安定基金 zh_TW dc.subject (關鍵詞) predictability en_US dc.subject (關鍵詞) dynamic learning en_US dc.subject (關鍵詞) minimal guarantee en_US dc.subject (關鍵詞) Parisian option en_US dc.subject (關鍵詞) filtering en_US dc.subject (關鍵詞) guaranty fund en_US dc.title (題名) 廣義財務模型於保險公司資產配置與破產成本之研究 zh_TW dc.title (題名) Asset allocation and bankruptcy problems of insurance company in general financial models en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Allen, H. and M. P. Taylor, 1990, “Charts, Noise and Fundamentals in the Foreign Exchange Market,” Economic Journal 100, 49–59.Allen, H. and M. P. Taylor, 1992, “Chartist Analysis,” In: Milgate, M., Newman, P., Eatwell, J. (Eds.), The New Palgrave Dictionary of Money and Finance. MacMillan, London. Andersen, L. and R. Brotherton-Ratcliffe, 1996, “Exact exotics,” Risk 9, 85–89.Anderson, R. W. and S. M. Sundaresan, 1996, “The design and valuation of debt contracts,” Review of Financial Studies 9, 37–68.Azéma, J. and M. Yor, 1989, “Etude d`une martingale remarquable,” In: Séminaire de Probabilités XXIIILectures Notes in Math. vol. 1372, Springer, Berlin, pp. 88–130.Avellaneda, M. and L. Wu, 1999, “Pricing Parisian-style options with a lattice method,” International Journal of Theoretical and Applied Finance 2, 1–16.Barberis, N., 2000, “Investing for the Long Run when Returns are Predictable,” Journal of Finance 55, 225-264.Bawa, V. S., S. J. Brown, and R. W. Klein, 1979, “Estimation Risk and Optimal Portfolio Choice,” North-Holland, New York.Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005a, “Market value of life insurance contracts under stochastic interest rates and default risk,” Insurance: Mathematics and Economics 36, 499–516.Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005b, “A new procedure for pricing Parisian options,” The Journal of Derivatives 12, 45-53.Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2006, “Development and pricing of a new participating contract,” North American Actuarial Journal 10, 179–195.Black, F. and M. Scholes, 1973, “The pricing of options and corporate liabilities,” Journal of Political Economy 81, 637-654.Black, F. and J. C. Cox, 1976, “Valuing corporate securities: Some effects of bond indenture provisions,” Journal of Finance 31, 351–367.Brandt, M. W., 1999, “Estimating Portfolio and Consumption Choice: A Conditional Euler Equation Approach,” Journal of Finance 54, 1609-1645.Brennan, M. J., E.S. Schwartz, and R. Lagnado, 1997, “Strategic Asset Allocation,” Journal of Economic Dynamics and Control 21, 1377-1403.Brewer III, E., T. S. Mondschean, and P. E. Strahan, 1997, “The role of monitoring in reducing the moral hazard problem associated with government guarantees: evidence from the life insurance industry,” Journal of Risk and Insurance 64, 301–322.Briys, E. and F. de Varenne, 1994, “Life insurance in a contingent claim framework: Pricing and regulatory implications,” Geneva Papers on Risk and Insurance Theory 19, 53-72.Briys, E. and F. de Varenne, 1997, “On the risk of insurance liabilities: Debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694.Campbell, J. Y., and L. M. Viceira, 1999, “Consumption and Portfolio Decisions when Expected Returns are Time Varying,” Quarterly Journal of Economics 114, 433-495..Chen, A. and M. Suchanecki, 2007, “Default risk, bankruptcy procedures and the market value of life insurance liabilities,” Insurance: Mathematics and Economics 40, 231-255.Chesney, M., M. Jeanblanc-Picqué and M. Yor, 1997, “Brownian excursions and Parisian barrier options,” Advances in Applied Probability 29, 165-184.Cheung, Y.-W., M. D. Chinn, 1999, “Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders,” NBER Working paper No. 7417. Costabile, M., 2002, “A combinatorial approach for pricing Parisian options,” Decisions in Economics and Finance 25, 111-125Cox, J. and C. F. Huang, 1989, “Optimal Consumption and Portfolio Polices when Asset Prices follow a Diffusion Process,” Journal of Economic Theory 49, 33-83.Cox, J. and C. F. 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