1 - 8 of 8 articles
Abstract Modeling and forecasting of mortality rates are closely related to a wide range of actuarial practices, such as the designing of pension schemes. To improve the forecasting accuracy, age coherence is incorporated in many recent mortality models, which suggests that the long-term...
Abstract Longevity risk is putting more and more financial pressure on governments and pension plans worldwide due to pensioners’ increasing trend of life expectancy and the growing numbers of people reaching retirement age. Lee and Carter (1992, Journal of the American Statistical Association,...
Abstract We study the time-consistent investment and contribution policies in a defined benefit stochastic pension fund where the manager discounts the instantaneous utility over a finite planning horizon and the final function at constant but different instantaneous rates of time preference....
Abstract We study a stochastic model for a target benefit pension plan suffering from rising longevity and falling fertility. Policies for postponing retirement are carried out to hedge the payment difficulties caused by the aging population. The plan members’ contributions are set in advance...
Abstract We formalize a consumption–investment–insurance problem with the distinction of a state-dependent relative risk aversion. The state dependence refers to the state of the finite state Markov chain that also formalizes insurable risks such as health and lifetime uncertainty. We derive and...
Abstract We study a distributionally robust reinsurance problem with the risk measure being an expectile and under expected value premium principle. The mean and variance of the ground-up loss are known, but the loss distribution is otherwise unspecified. A minimax problem is formulated with its...
Abstract We study an optimal investment problem under a joint limited expected relative loss and portfolio insurance constraint with a general random benchmark. By making use of a static Lagrangian method in a complete market setting, the optimal wealth and investment strategy can be fully...
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