In comparing an immediate life annuity with a payout-equivalent investment fundpayout plan (self-annuitization), research to date has focused mainly on shortfallprobabilities of self-annuitization. As an exception, Schmeiser and Post (2005)propose a family strategy where the chances of...

Das Thema der Kapitalallokation und risikoadjustierten Performancesteuerungwird im Finanzdienstleistungssektor intensiv diskutiert.1 Die Kapitalallokationstellt dabei einen zentralen Baustein der Unternehmenssteuerung dar. Insbesonderesollen Fragestellungen der optimalen...

In their 2001 Journal of Risk and Insurance article, Stewart C. Myers and James A.Read, Jr., propose to use a specific capital allocation method for pricing insurancecontracts. We show that in their model framework no capital allocation to lines ofbusiness is needed for pricing insurance...