Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten

Zusammenfassung  Turbo-Zertifikate geh?ren derzeit zu den beliebtesten strukturierten Produkten für Privatanleger. Sie lassen sich als Spezialformen von Barrier-Optionen auffassen. In Bezug auf das Produktdesign ist das Verh?ltnis von Kursschranke und Basispreis von Bedeutung. Unter Ausnutzung der Put-Call-Symmetrie wird gezeigt, dass eine geeignete Wahl der Ausstattungsmerkmale dem Emittenten eine semi-statische überabsicherung in Standard-Optionen erm?glicht, die bezüglich einer ganzen Modellklasse gültig ist. Im Gegensatz zu der in der Praxis g?ngigen Preisstellung kann eine Absicherung der Zahlungsverpflichtungen im Allgemeinen nicht unabh?ngig von der Volatilit?t erfolgen.

---

Product design and semi-static hedging of turbo-certificates

Summary  Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. For the design of these products, the relation between the barrier level and the strike price is especially important. By using the put-call-symmetry, we show that by a certain choice of these parameters, the issuer is able to obtain an almost static (super-) hedge in standard option contracts which is valid for a general class of models. It turns out that in contrast to the pricing rule which is often used in practice, the issuer can neither hedge a single certificate nor a portfolio of certificates independent of the volatility.

     

Deferred life annuities: on the combined effects of stochastic mortality and interest rates

The paper analyzes the systematic risk which is inherent in a portfolio of deferred life annuities. We take into account stochastic mortality as well as stochastic interest rates. For the specification of the mortality rate dynamics, we consider a pure diffusion model as well as a compound Poisson jump model. The interest rate dynamics are given by a one-factor Hull–White model. All models, interest rate and mortality rate, are calibrated to financial market as well as demographic data. We use Monte Carlo simulations to approximate the variance of the discounted cash flow and its decomposition into a pooling and a non-pooling risk part. We also consider pricing effects using the principle of zero expected utility and the quantile principle. The estimated risk premiums are benchmarked to the equivalence premium. Finally, we focus on solvency requirements which are based on the investment decisions and the associated shortfall probability of the annuity provider.     

Making sense of the new geography of citizenship: Fragmented citizenship in the European Union

Theory and Society -     

The Impermanence of Permanence: The Rise of Probationary Immigration in Canada

This article engages with arguments that contemporary immigration politics is defined by a “loss of settlement” by examining recent developments in Canadian immigration and refugee policy that have made permanent residence less permanent. We suggest that the rise of probationary immigration has been facilitated by horizontal status stratification within groups that were historically marked by relative status equality. In order to examine this claim empirically in the Canadian context, we analyze the rise of temporary foreign worker recruitment, the move from “one-step” to “two-step” immigration, and changes to refugee policy that, for the first time, linked loss of refugee status to the loss of permanent resident status.     

Stressmanagement und Personalentwicklung

Stress management is a main topic of human resources development. This article discusses therefore characteristics of human resources development by means of stress management and starts by presenting theoretical foundations of stress management, intervention concepts, and evaluation results as well as contexts of intervention and target groups. Demands for interventions in the area of human resources development are then specified. These demands touch neglected target groups like low qualified workers and intervention contexts as well as interventions at the workplace. The further development needs of the intervention process are finally highlighted. The intervention process should systematically consider the motivation for participation and not only the motivation of the employees but also the motivation of the managerial decision-makers. Furthermore the relevance of the analysis and its instruments, the intervention methods, didactics and evaluation methods are pointed-out. A new developed intervention concept for stress and resource management for low qualified workers is presented, in which these demands are seized and used.     

Buchbesprechungen

Ohne Zusammenfassung     

Progression-free survival in oncological clinical studies: Assessment time bias and methods for its correction

Progression-free survival (PFS) is a frequently used endpoint in oncological clinical studies. In case of PFS, potential events are progression and death. Progressions are usually observed delayed as they can be diagnosed not before the next study visit. For this reason potential bias of treatment effect estimates for progression-free survival is a concern. In randomized trials and for relative treatment effects measures like hazard ratios, bias-correcting methods are not necessarily required or have been proposed before. However, less is known on cross-trial comparisons of absolute outcome measures like median survival times. This paper proposes a new method for correcting the assessment time bias of progression-free survival estimates to allow a fair cross-trial comparison of median PFS. Using median PFS for example, the presented method approximates the unknown posterior distribution by a Bayesian approach based on simulations. It is shown that the proposed method leads to a substantial reduction of bias as compared to estimates derived from maximum likelihood or Kaplan–Meier estimates. Bias could be reduced by more than 90% over a broad range of considered situations differing in assessment times and underlying distributions. By coverage probabilities of at least 94% based on the credibility interval of the posterior distribution the resulting parameters hold common confidence levels. In summary, the proposed approach is shown to be useful for a cross-trial comparison of median PFS.