Related papers: Optimal mutual insurance against systematic longev…
Almost every public pension system shares two attributes: earning deductions to finance benefits, and benefits that depend on earnings. This paper analyzes theoretically and empirically the trade-off between social insurance and incentive…
We consider two-sided matching markets, and study the incentives of agents to circumvent a centralized clearing house by signing binding contracts with one another. It is well-known that if the clearing house implements a stable match and…
This paper studies two-sided many-to-one matching in which firms have complementary preferences. We show that stable matchings exist under a balancedness condition that rules out a specific type of odd-length cycles formed by firms'…
We study a stochastic differential game in a ruin theoretic environment. In our setting two insurers compete for market share, which is represented by a joint performance functional. Consequently, one of the insurers strives to maximize it,…
The number of people who receive a stable income for life from a closed pooled annuity fund is studied. Income stability is defined as keeping the income within a specified tolerance of the initial income in a fixed proportion of future…
We find the minimum probability of lifetime ruin of an investor who can invest in a market with a risky and a riskless asset and can purchase a deferred annuity. Although we let the admissible set of strategies of annuity purchasing process…
The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is considered. An insurance company receives premiums and pays out claims which have occured according to a renewal process and…
This paper deals with numerical solutions of maximizing expected utility from terminal wealth under a non-bankruptcy constraint. The wealth process is subject to shocks produced by a general marked point process. The problem of the agent is…
The efficiency of pension schemes in Kenya invites elevated interest owing to the increasing pension contribution amounts and the expectation that benefits paid out of these schemes would protect members from old age poverty. The study…
In this paper we investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. The payoff of this kind of policies depends on the residual life time…
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…
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading quality on its platform. To do so, we use a principal-agent…
Within the context of traditional life insurance, a model-independent relationship about how the market value of assets is attributed to the best estimate, the value of in-force business and tax is established. This relationship holds true…
We introduce a framework for systemic risk modeling in insurance portfolios using jointly exchangeable arrays, extending classical collective risk models to account for interactions. Joint exchangeability is a more general probabilistic…
The economic equities maximization criterion (MFPE) leads to the choice of financial portfolio, which maximizes the ratio of the expected value of the insurance company on the capital. This criterion is presented in the framework of a…
We study Stackelberg Equilibria (Bowley optima) in a monopolistic centralized sequential-move insurance market, with a profit-maximizing insurer who sets premia using a distortion premium principle, and a single policyholder who seeks to…
In this study we propose a unified model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the literature and provide a general methodology to solve the model.…
We design the insurance contract when the insurer faces arson-type risks. The optimal contract must be manipulation-proof. It is therefore continuous, it has a bounded slope, and it satisfies the no-sabotage condition when arson-type…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
In this paper, we study two optimisation settings for an insurance company, under the constraint that the terminal surplus at a deterministic and finite time $T$ follows a normal distribution with a given mean and a given variance. In both…