The improvements in mortality rates have been under investigation in many studies across the 20th century, especially in developed countries. Current literature assumes that mortality indice can be forecasted independently through the model ARIMA (Autoregressive Integrated Moving Average)....

This paper proposes an asset allocation strategy for the risk management of the broad category of participating life insurance policies. The nature of the liability implied by these contracts allows us to treat them as options written on the reference portfolio backing the policy; consequently,...

In recent years, the deferred annuity has aroused intensive discussion as a retirement solution product. In the course of understanding reasons behind the low demand of immediate annuities, two behavioural models, cumulative prospect theory and the hyperbolic discount model, have suggested that...

In this paper, we integrate investment decisions in the post-retirement decumulation period with that of the deferred annuity purchase to provide a lifetime decumulation solution. Based on Monte Carlo simulation and historical experience, we use the Perfect Withdrawal Rate (PWR) as a tool to...

We develop portfolio optimization problems to a non-life insurance company for finding the minimum capital required, which simultaneously satisfy solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three...

During the past few decades, there has been a steady shift from traditional defined benefit (DB) pension plans to defined contribution (DC) pension plans. In a DC pension plan, retirees have to make decisions on how to spend their accumulated retirement funds. Although it has been proved...