This paper studies a one-period stochastic game to determine the optimal premium strategies of non-life insurers in a competitive market. Specifically, the optimal premium strategy is determined by the Nash equilibrium of an n-player game, in which each player is assumed to maximise the expected...

The retirement systems in many developed countries have been increasingly moving from Defined Benefit (DB) towards the Defined Contribution (DC) system. In such systems, financial and longevity risks are shifted from the pension provider to the retiree. This paper uses a probabilistic approach...

We propose the use of indirect inference estimation to conduct inference in complex locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the nonparametric nature of locally stationary models, the...

The global shift towards defined-contribution pension schemes has been accompanied by asymmetric risks and new responsibilities for households to plan and fund effectively their own retirement over the years. In this study, expressing and combining preferences for consumption, investment,...