By a News Reporter-Staff News Editor at Investment Weekly News -- Investigators discuss new findings in Analytical Finance. According to news reporting originating from Tilburg, Netherlands , by VerticalNews correspondents, research stated, "We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance." Our news editors obtained a quote from the research from Tilburg University , "We propose to extend standard actuarial principles by a new market-consistent evaluation procedure which we call two-step market evaluation. This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two-step market evaluations. We show further that in a dynamic setting with continuous stock prices every evaluation which is time-consistent and market-consistent is a two-step market evaluation." According to the news editors, the research concluded: "We also give characterization results and examples in terms of g-expectations in a Brownian-Poisson setting." For more information on this research see: Time-consistent And Market-consistent Evaluations. Mathematical Finance , 2014;24(1):25-65. Mathematical Finance can be contacted at: Wiley-Blackwell, 111 River St , Hoboken 07030-5774, NJ, USA. (Wiley-Blackwell - www.wiley.com/ ; Mathematical Finance - onlinelibrary.wiley.com/journal/10.1111/ (ISSN)1467-9965) The news editors report that additional information may be obtained by contacting A. Pelsser, Tilburg University, NL -5037 AB Tilburg, Netherlands . Keywords for this news article include: Europe , Tilburg, Netherlands , Analytical Finance Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC
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