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Stochastic assessment of special-rate life annuities
Olivieri, Annamaria; Tabakova, Daniela - 2024
Persistent link: https://www.econbiz.de/10014534628
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On the effectiveness of natural hedging for insurance companies and pension plans
Li, Jackie; Haberman, Steven - In: Insurance / Mathematics & economics 61 (2015), pp. 286-297
Persistent link: https://www.econbiz.de/10010515868
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Time-consistent mean-variance hedging of longevity risk : effect of cointegration
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 56 (2014), pp. 56-67
Persistent link: https://www.econbiz.de/10010385032
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Sharing of longevity basis risk in pension schemes with income-drawdown guarantees
Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - 2020
Persistent link: https://www.econbiz.de/10012661294
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Optimal dynamic asset allocation of pension fund in mortality and salary risks framework
Liang, Zongxia; Ma, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 151-161
Persistent link: https://www.econbiz.de/10011397973
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Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
Luo, Xiaolin; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 62 (2015), pp. 5-15
Persistent link: https://www.econbiz.de/10011312092
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Asset allocation for a DC pension fund with stochastic income and mortality risk : a multi-period mean–variance framework
Yao, Haixiang; Lai, Yongzeng; Ma, Qinghua; Jian, Minjie - In: Insurance / Mathematics & economics 54 (2014), pp. 84-92
Persistent link: https://www.econbiz.de/10010259667
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Consumption-investment problems with stochastic mortality risk
Schendel, Lorenz S. - 2014 - This version: March 3, 2014
stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity constraints and a simple … insurance. I compare models with deterministic and stochastic hazard rate of death to a model without mortality risk. Mortality …
Persistent link: https://www.econbiz.de/10010252060
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A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks : open access journal 4 (2016) 3, pp. 1-31
discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal …
Persistent link: https://www.econbiz.de/10011507624
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On retirement time decision making
Chen, An; Hentschel, Felix; Steffensen, Mogens - In: Insurance / Mathematics & economics 100 (2021), pp. 107-129
Persistent link: https://www.econbiz.de/10012622384