This paper compares two different types of annuity providers, i.e. defined benefit pension funds and life insurance companies. One of the key differences is that the residual risk in pension funds is collectively borne by the beneficiaries and the sponsor's shareholders while in the case of life...

This paper uses contingent claims analysis and regulatory constraints to show how a bank can create incentive compatible compensation for senior management aligned with the interests of other stakeholders. For this purpose, the remuneration package takes the form of a "call spread'' on the...

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...

This paper studies an optimal asset allocation problem for a surplus-driven financial institution facing a quantile-based constraint (a Value-at-Risk or an Average Value-at-Risk constraint), or a shortfall-based constraint (an expected shortfall or an expected discounted shortfall constraint)....