Related papers: Hedging longevity risk in defined contribution pen…
Consider a closed pooled annuity fund investing in n assets with discrete-time rebalancing. At time 0, each annuitant makes an initial contribution to the fund, committing to a predetermined schedule of withdrawals. Require annuitants to be…
In this paper, we adopted a net liability model which assesses both market risk on the liability side and revenue risk on the asset side for a Guaranteed Minimum Maturity Benefit (GMMB) embedded in variable annuity (VA) contracts. Numeric…
For the assessment of the financial soundness of a pension fund, it is necessary to take into account mortality forecasting so that longevity risk is consistently incorporated into future cash flows. In this article, we employ machine…
Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might…
A collectivised fund is a proposed form of pension investment, in which all investors agree that any funds associated with deceased members should be split among survivors. For this to be a viable financial product, it is necessary to know…
This work proposes a unified framework for portfolio allocation, covering both asset selection and optimization, based on a multiple-hypothesis predict-then-optimize approach. The portfolio is modeled as a structured ensemble, where each…
In this paper we consider an optimal investment and reinsurance problem with partially unknown model parameters which are allowed to be learned. The model includes multiple business lines and dependence between them. The aim is to maximize…
A retiree's appetite for risk is a common input into the lifetime utility models that are traditionally used to find optimal strategies for the decumulation of retirement savings. In this work, we consider a retiree with potentially…
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
This paper considers the problem of optimal liquidation of a position in a risky security in a financial market, where price evolution are risky and trades have an impact on price as well as uncertainty in the filling orders. The problem is…
This paper studies an optimal investment and consumption problem with heterogeneous consumption of basic and luxury goods, together with the choice of time for retirement. The utility for luxury goods is not necessarily a concave function.…
The problem of stock hedging is reconsidered in this paper, where a put option is chosen from a set of available put options to hedge the market risk of a stock. A formula is proposed to determine the probability that the potential loss…
This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios…
We present a robust version of the life-cycle optimal portfolio choice problem in the presence of labor income, as introduced in Biffis, Gozzi and Prosdocimi ("Optimal portfolio choice with path dependent labor income: the infinite horizon…
Empirical studies with publicly available life tables identify long-range dependence (LRD) in national mortality data. Although the longevity market is supposed to benchmark against the national force of mortality, insurers are more…
This paper investigates an optimal investment problem under the tail Value at Risk (tail VaR, also known as expected shortfall, conditional VaR, average VaR) and portfolio insurance constraints confronted by a defined-contribution pension…
In order to deal with the aging problem, pension system is actively transformed into the funded scheme. However, the funded scheme does not completely replace PAYGO (Pay as You Go) scheme and there exist heterogeneous mixes among PAYGO, EET…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
We consider the problem of optimal investment with random endowment in a Black--Scholes market for an agent with constant relative risk aversion. Using duality arguments, we derive an explicit expression for the optimal trading strategy,…