This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework, A key aspect of our study involves the agent's option to choose when to acquire life insurance for bequest purposes, We...

This paper proposes a principal-agent framework to study the optimal transfer of longevity risk between a reinsurer and a hedger under information asymmetry. Most hedgers in the real world have rather small portfolios which are hard to be accurately estimated by the reinsurer. Using indemnity...

This paper studies life reinsurance as a solution to default risk in equity-linked life insurance products with surplus participation. The problem is considered under both perfect and asymmetric information about the insurer’s risk profile between the reinsurer and the insurer. In both cases,...

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...

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...

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...