Related papers: Wealth heterogeneity in a closed pooled annuity fu…
Money-back guarantees (MBGs) are features of pooled retirement income products that address bequest concerns by ensuring the initial premium is returned through lifetime payments or, upon early death, as a death benefit to the estate. This…
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random)…
In this paper, we propose a new class of optimization problems, which maximize the terminal wealth and accumulated consumption utility subject to a mean variance criterion controlling the final risk of the portfolio. The multiple-objective…
This research presents an analysis of the demographic risk related to future membership patterns in pension funds with restricted entrance, financed under a pay-as-you-go scheme. The paper, therefore, proposes a stochastic model for…
This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. The contribution rate is proportional to the individual's salary, the dynamics of which follows a Heston…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…
We introduce a dynamic distribution regression panel data model with heterogeneous coefficients across units. The objects of primary interest are functionals of these coefficients, including predicted one-step-ahead and stationary…
Altruistic behaviour is disadvantageous for the individual while is advantageous for its group. If the target of the selection is the individual, one would expect the selection process to lead to populations formed by wholly homogeneous…
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…
Panel data analysis is an important topic in statistics and econometrics. Traditionally, in panel data analysis, all individuals are assumed to share the same unknown parameters, e.g. the same coefficients of covariates when the linear…
Financial instability has become a significant issue in today's society. While research typically focuses on financial aspects, there is a tendency to overlook time-related aspects of unstable work schedules. The inability to rely on…
This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding…
We investigate models of the life annuity insurance when the company invests its reserve into a risky asset with price following a geometric Brownian motion. Our main result is an exact asymptotic of the ruin probabilities for the case of…
We propose a novel approach to infer investors' risk preferences from their portfolio choices, and then use the implied risk preferences to measure the efficiency of investment portfolios. We analyze a dataset spanning a period of six…
We consider a financial market in which traders potentially face restrictions in trading some of the available securities. Traders are heterogeneous with respect to their beliefs and risk profiles, and the market is assumed thin: traders…
This study outlines a comprehensive methodology utilizing copulas to discern inconsistencies in the behavior exhibited by pairs of financial assets. It introduces a robust approach to establishing the interrelationship between the returns…
To explain the appearance of heterogeneities in the plasma membrane, I propose a hypothesis which begins with the observation that fluctuations in the membrane curvature are coupled to the difference between compositions in one leaf and the…
Personalization aims to characterize individual preferences and is widely applied across many fields. However, conventional personalized methods operate in a centralized manner, potentially exposing raw data when pooling individual…
When assessing group solvency, an important question is to what extent intragroup transfers may be considered, as this determines to which extent diversification can be achieved. We suggest a framework to describe the families of admissible…