Related papers: Optimal annuitization post-retirement with labor i…

The effects of automation on our economy and society are more palpable than ever, with nearly half of jobs at risk of being fully executed by machines over the next decade or two. Policymakers and scholars alike have championed the…

In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existing relevant literature focuses mainly on mortality…

In this paper, we investigate the optimal management of defined contribution (abbr. DC) pension plan under relative performance ratio and Value-at-Risk (abbr. VaR) constraint. Inflation risk is introduced in this paper and the financial…

The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…

We consider a manufacturer who manages the end-of-life phase and takes one of the three actions at each period: (1) place an order, (2) use existing inventory, (3) stop holding inventory and use an outside/alternative source. Two examples…

This paper addresses the risk-minimization problem, with and without mortality securitization, \`a la F\"ollmer-Sondermann for a large class of equity-linked mortality contracts when no model for the death time is specified. This framework…

We consider an expected utility maximization problem where the utility function is not necessarily concave and the time horizon is uncertain. We establish a necessary and sufficient condition for the optimality for general non-concave…

We study paycheck optimization, which examines how to allocate income in order to achieve several competing financial goals. For paycheck optimization, a quantitative methodology is missing, due to a lack of a suitable problem formulation.…

In life insurance, life tables are used to estimate the survival distribution of individuals from a given population. However, these tables only provide survival probabilities at integer ages but no information about the distribution of…

We examine the impact of annual hours worked on annual earnings by decomposing changes in the real annual earnings distribution into composition, structural and hours effects. We do so via a nonseparable simultaneous model of hours, wages…

We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…

This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be serially correlated and mutually dependent. Rewards can be…

Several methods have been proposed in the literature to solve reliability-based optimization problems, where failure probabilities are design constraints. However, few methods address the problem of life-cycle cost or risk optimization,…

Variable annuities with Guaranteed Minimum Withdrawal Benefits (GMWB) entitle the policy holder to periodic withdrawals together with a terminal payoff linked to the performance of an equity fund. In this paper, we consider the valuation of…

Multilevel regression and poststratification (MRP) is a popular method for addressing selection bias in subgroup estimation, with broad applications across fields from social sciences to public health. In this paper, we examine the…

For $n$ assets and discrete-time rebalancing, the probability to complete a given schedule of investments and withdrawals is maximized over progressively measurable portfolio weight functions. Applications consider two assets, namely the…

We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…

In this paper we present a numerical valuation of variable annuities with combined Guaranteed Minimum Withdrawal Benefit (GMWB) and Guaranteed Minimum Death Benefit (GMDB) under optimal policyholder behaviour solved as an optimal stochastic…

We consider the problem of maximising expected utility from terminal wealth in a semimartingale setting, where the semimartingale is written as a sum of a time-changed Brownian motion and a finite variation process. To solve this problem,…

We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…