State-sponsored private pension schemes generally provide retirees with a lump sum, but do nothing to assist them with its conversion to an income stream. An optimal way to affect this conversion is to purchase a guaranteed term-certain annuity with part of the sum, while investing the remainder...

New results for ratios of extremes from distributions with a regularly varying tail are presented. Deriving from independence results for certain functions of order statistics, 'consecutive' ratios of extremes are shown to be independent as well as non-distribution specific. They have tractable...

Purpose – The purpose of this paper is to examine use of the Black-Scholes (BS) risky asset model to determine choice of optimal investment term in a reinvestment chain model. Design/methodology/approach – An extension of Tobin's separation theorem is used to establish a mean-variance...

Purpose – The purpose of this paper is to examine use of the Black‐Scholes (BS) risky asset model to determine choice of optimal investment term in a reinvestment chain model. Design/methodology/approach – An extension of Tobin's separation theorem is used to establish a mean‐variance...