In this paper, a closed-form solution for future cash flows of defined benefit pension plans is derived. Cash inflows include contributions from active employees and transfer payments from newly recruited employees. Cash outflows involve benefit payments to disabled and retired beneficiaries,...

The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice, an aspect that was largely cast aside when the ad-hoc portfolio balance models of the 1970s were replaced bymodels of optimizing agents. We develop the...

We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...