Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...

This paper investigates the effect of closed overnight exchanges on option prices.During the trading day asset prices follow the literature s standard affine model which allows asset prices to exhibit stochastic volatility and random jumps.Independently, the overnight asset price process is...

In this paper we evaluate applications of (return based) style analysis.The portfolio and positivity constraints imposed by style analysis are useful in constructing mimicking portfolios without short positions.Such mimicking portfolios can be used, e.g., to construct efficient portfolios of...

In this paper we show how style analysis of mutual funds can be used to circumvent the problem of self-reported investment styles, and to improve relative performance evaluation. Subsequently, we relate style analysis to performance evaluation and present results on the performance of Dutch...

We study the optimal consumption and portfolio choice problem over an individual's life-cycle taking into account annuity risk at retirement. Optimally, the investor allocates wealth at retirement to nominal, inflation-linked, and variable annuities and conditions this choice on the state of the...