In a typical equity-linked life insurance contract, the insurance company is entitled to a share of return surpluses as compensation for the return guarantee granted to the policyholders. The set of possible contract terms might, however, be restricted by a regulatory default constraint - a fact...

In this paper, we consider the net loss of a life insurance company issuing identical equity-linked pure endowment contracts in the case of periodic premiums. Under this construction, financial risks as well as the mortality risk are included. Based on Møller (1998), we particularly investigate...

This paper considers a utility maximization and optimal asset allocation problem in the presence of a stochastic endowment that cannot be fully hedged through trading in the financial market. We rely on the dynamic programming approach to solve the optimization problem. The properties of the...

This paper compares two diff erent types of private retirement plans from the perspective of a representative benefi ciary: De fined Benefi t (DB) and Defi ned Contribution (DC) plan. One of the key di fferences is that DB plans carry portability risks, whereas DC plans bear asset and...

The present paper analyzes optimal supervisory rules for pension funds taking account of diverse pension security mechanisms: support provided by either a pension guarantee fund, a plan sponsor or by both. Assuming that the regulatory rule is either to control the shortfall probability or...

This paper compares two different types of private retirement plans from the perspective of a representative beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB and DC pension plans, one of the key differences is that...

We study an asset allocation problem for a defined-contribution (DC) pension scheme in its accumulation phase. We assume that the amount contributed to the pension fund by a pension plan member is coupled with the salary income which fluctuates randomly over time and contains both a tradable and...

We analyze an optimal consumption and investment problem for a representative agent who may have different preferences for consumption and for terminal wealth. The utility for consumption is characterized by constant relative risk aversion so consumption is always positive. In contrast, the...