This article studies four transform pricing methods in the context of general equilibrium (GE) framework. The four methods, viz. the Esscher transform, indifference pricing, the Wang transform, and the standard deviation loading, are popular among actuarial literature and practice. The transform...

The paper considers the efficiency of the pay-as-you-go pension system with endogenous labor supply, when contributions are collected as an income tax. Results from the literature state that in this case a Pareto-improving transition path to a fully-funded system exists, if the interest rate is...

We use probabilistic arguments to derive an expression for the joint density of the time of ruin and the number of claims until ruin in the classical risk model. From this we obtain a general expression for the probability function of the number of claims until ruin. We also consider the moments...

Purchasing life insurance is for the welfare of young children, par-ticularly preteens, who are liquidity constrained. In this paper, we present a life cycle model of life insurance that takes into account the ages of these young beneciaries. We show that, as the child ages, the need for...

Staatlich organisierte Altersvorsorgesysteme, die in Umlage finanziert werden (in Deutschland ist dies die gesetzliche Rentenversicherung [GRV]), bedürfen einer expliziten Regelung, wie hoch die Renten sein sollen bzw. wie die laufenden Renten den veränderten ökonomischen Rahmenbedingungen...

Suppose are independent subexponential random variables with partial sums. We show that if the pairwise sums of the ’s are subexponential, then is subexponential and . The result is applied to give conditions under which as , where are constants such that is a.s. convergent. Asymptotic tail...