For insurance companies in Europe, the introduction of Solvency II leads to a tightening of rules for solvency capital provision. In life insurance, this especially affects retirement products that contain a significant portion of longevity risk (for example conventional annuities). Insurance...

Many empirical studies confirm that policyholder's subjective mortality beliefs deviate from the information given by publicly available mortality tables. In this study, we look at the effect of subjective mortality beliefs on the perceived attractiveness of retirement products, focusing on two...

The present paper analyses an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market.We solve the optimization problem under partial information by making the market observationally complete...

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...

Optimal timing of retirement is an important part of retirement planning. We consider three types of individuals distinguished by the way they use information when deciding the retirement time. For each of these types, we analyze two elements influencing the decision, the market model and the...

We compare a variety of retirement products under cumulative prospect theory (CPT), including both well-known (variable) annuity products and some innovative, tontine-like retirement products, in which longevity risks are shared between insurers and policyholders. Following Hu and Scott (2007),...