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Striking the balance : life insurance timing and asset allocation in financial planning
Chen, An; Ferrari, Giorgio; Zhu, Shihao - 2023
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...
Persistent link: https://www.econbiz.de/10014438021
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Tail Index-Linked Annuity : A Longevity Risk Sharing Retirement Plan
Chen, An - 2020
that the proposed TILA leads to higher expected lifetime utility than regular annuities for policyholders with different … of the insurer, leading to substantially lower loss probability and expected (tail-) loss than regular annuities in the …
Persistent link: https://www.econbiz.de/10012826839
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Optimal Asset Allocation in Life Insurance : The Impact of Regulation
Chen, An - 2016
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...
Persistent link: https://www.econbiz.de/10013005440
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Life Reinsurance Under Perfect and Asymmetric Information
Chen, An; Hinken, Maria; Shen, Yang - 2023
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,...
Persistent link: https://www.econbiz.de/10014350870
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Tonuity : a novel individual-oriented retirement plan
Chen, An; Hieber, Peter; Klein, Jakob K. - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 5-30
Persistent link: https://www.econbiz.de/10012105334
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Optimal Supervisory Rules for Pension Funds Under Diverse Pension Security Mechanisms
Chen, An - 2013
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...
Persistent link: https://www.econbiz.de/10013073357
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Optimal asset allocation in life insurance : the impact of regulation
Chen, An; Hieber, Peter - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 605-626
Persistent link: https://www.econbiz.de/10011669744
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Regulatory measures for distressed insurance undertakings : a comparative study
Chen, An; Hieber, Peter; Lämmlein, Lars - In: Scandinavian actuarial journal 2020 (2020) 1, pp. 30-43
Persistent link: https://www.econbiz.de/10012195018
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Valuation of long-term care options embedded in life annuities
Chen, An; Fuino, Michel; Sehner, Thorsten; Wagner, Joël - In: Annals of actuarial science : publ. by the Institute of … 16 (2022) 1, pp. 68-94
Persistent link: https://www.econbiz.de/10013187286
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On the Optimal Combination of Annuities and Tontines
Chen, An - 2019
' viewpoint, the advantages of annuities and tontines can be combined to form a retirement plan which is cheaper than an annuity … combining annuities and tontines in an expected utility framework: The previously introduced "tonuity", a product very similar … antine. Further, we derive conditions on the premium loadings of annuities and tontines indicating when the optimal portfolio …
Persistent link: https://www.econbiz.de/10012865448