We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from...

This paper deals with the numerical approximation of the class of Markovian backward stochastic differential equations (BSDEs) where the terminal condition is a functional of Brownian motion. By developing the solution of a Markovian BSDE as a Fourier-Hermite expansions in a Hilbert space, we...

We investigate whether risk-taking for resurrection type of risk preference (non-constant risk aversion) can increase the probability of achieving inflation-indexed pension benefits at retirement, especially when the starting position is underfunded. By maximizing the expected utility of the...

We investigate whether risk-taking for resurrection type of risk preference (non-constant risk aversion) can increase the probability of achieving inflation-indexed pension benefits at retirement, especially when the starting position is underfunded. By maximizing the expected utility of the...