We develop an approximate solution method for a classical saving for retirement problem in case of random payment scheme and VAR defined investor preferences. As the results of our numerical calculations indicate our approximate approach facilitates greater accuracy and reduces simulation time...

We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial institution. We demonstrate that the subadditivity condition that is often imposed on solvency capital principles can lead to the undesirable situation where the shortfall...