In this paper the existing methodology of conditioning Taylor approximation is used to solve a general model from the area of pensions. More specifically, we searched for the optimal multi-period investment strategy of an investor whose accumulation phase (lasting M years) is followed by an...

In this paper we develop what is to the best of our knowledge a new method for solving optimal reinsurance problems. Using the aforementioned method we are able to replicate the results of Bernard and Tian (2009), Cheung (2010) and Cai et al. (2008). The method however allows us to extend the...