In many countries, the decline in interest rates has reduced the interest in traditional participating life insurance contracts with investment guarantees and has led to a shift to unit-linked policies without guarantees. We design a novel mixed insurance contract splitting premium payments...

In the context of pension plans, the employer and the worker have distinct interests and face different risks. The worker seeks higher retirement benefits, while the employer aims to minimize the cost of fulfilling his obligations. To address these diverse needs, the defined contribution plan...

The management of a life insurance portfolio or pension fund must take intoaccount the temporal evolution of its liabilities and its assets through some variables:the factors and returns. Their behaviour is analysed statistically and we deduce it to avector error correction model (VECM). Using...