In recent years many US corporate pension plans have closed and entered their “end-state.” As end-state plans have become more prevalent, their special portfolio management challenges, including asset allocation, have gained attention.Pure immunization with public fixed income assets...

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

The concept of a market portfolio plays an important role in many financial theories and models. Knowledge of each asset's share of the invested capital markets is both useful information and a good starting point for investors considering the appropriate allocation to the asset. In our latest...

Shankar (2009) proposes a new investment strategy for retirees that bundles Treasury Inflation Protected Securities with a deferred annuity to guarantee real annual withdrawal rates of 5% or more with no risk of financial ruin. This strategy addresses three problems that retirees face: longevity...

This study investigates the optimal asset allocation of a financial institution subject to liquidity risks and whose customers are free to withdraw their capital-guaranteed financial contracts at any time. Accounting for constraints on the solvency of the institution, we present a general...

• We offer the first empirical exploration of fixed indexed annuity returns based upon actual contracts that were sold and actual interest that was credited.• Annuity returns have been competitive with alternative portfolios of stocks and bonds.• Their design has limited the downside...

This paper derives optimal consumption, investment, and annuitization patterns for retired households that have access to German-style participating payout life annuities (PLAs), allowing for capital market risks as well as idiosyncratic and systematic longevity risks. PLAs provide guaranteed...

In this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance and invests in markets where borrowing is constrained. We use a diffusion approximation model for the surplus process of this company and assume that the company invests its...

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products. While longevity risk sharing in pooled annuities has...

The goal of this paper is to provide a critical overview of Moroccan insurance/pension fund investments in alternative assets through data analysis techniques. The results show that the risk of reserve depletion and the investment restrictions imposed by the regulator are not the real reasons...