相关论文: Collectivised Post-Retirement Investment

This paper studies proportional risk sharing at claim occurrence time in community-based insurance. Each participant is modeled by an individual Cram\'er-Lundberg surplus process, and, whenever a claim is reported within the pool, its cost…

An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…

Quantitative investment aims to maximize the return and minimize the risk in a sequential trading period over a set of financial instruments. Recently, inspired by rapid development and great potential of AI technologies in generating…

We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…

This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many…

We introduce a concept called a collective: an interface with a protocol for aggregating contributions and distributing returns. Through such a protocol, many members may participate in a mutual endeavor. We present a variety of real-world…

This paper considers an insurer with two collaborating business lines that must make three critical decisions: (1) dividend payout, (2) a combination of proportional and excess-of-loss reinsurance coverage, and (3) capital injection between…

Cost-of-capital valuation is a well-established approach to the valuation of liabilities and is one of the cornerstones of current regulatory frameworks for the insurance industry. Standard cost-of-capital considerations typically rely on…

Goal-based investing is concerned with reaching a monetary investment goal by a given finite deadline, which differs from mean-variance optimization in modern portfolio theory. In this article, we expand the close connection between…

We demonstrate by mathematical analysis and systematic computer simulations that redistribution can lead to sustainable growth in a society. The human capital dynamics of each agent is described by a stochastic multiplicative process which,…

This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete.…

We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and…

Substantial empirical research has shown that the level of individualism vs. collectivism is one of the most critical and important determinants of societal traits, such as economic growth, economic institutions and health conditions. But…

We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a risk-parity objective,…

This article investigates retirement decumulation behaviours using the Grouped Fixed-Effects (GFE) estimator applied to Australian panel data on drawdowns from phased withdrawal retirement income products. Behaviours exhibited by the…

We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…

We review some fundamental concepts of investment from a mathematical perspective, concentrating specifically on fractional-Kelly portfolios, which allocate a fraction of wealth to a growth-optimal portfolio while the remainder collects (or…

In real-world federated learning (FL) systems, client participation is intermittent, heterogeneous, and often correlated with data characteristics or resource constraints. Existing fairness approaches in FL primarily focus on equalizing…

With the emergence of energy communities, where a number of prosumers invest in shared generation and storage, the issue of fair allocation of benefits is increasingly important. The Shapley value has attracted increasing interest for…

The purpose of this article is twofold. First, we motivate the need for a new type of stand-alone retirement income insurance product that would help individuals protect against personal longevity risk and possible "retirement ruin" in an…