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We develop a generalization of the World Bank (1994) model of forced saving for retirement. This broader model consists of two tiers of second pillar savings --- mandated and non-mandated (voluntary). Furthermore, the government can set two types of guarantees on the first (mandated) tier ---...
Persistent link: https://www.econbiz.de/10014046263
The Swiss model of retirement savings and benefits distinguishes itself in several aspects. The system is successful in encouraging substantial savings, which are exonerated from tax and guaranteed. The associated market risk is not transferred to the individuals. From an international...
Persistent link: https://www.econbiz.de/10014046510
Because of the profitable nature of risk businesses in the long term, de Finetti (1957) suggested that surplus models should allow for cash leakages, as otherwise the surplus would unrealistically grow (on average) to the infinity. These leakages were interpreted as 'dividends'. Subsequent...
Persistent link: https://www.econbiz.de/10013002977
In the classical optimal dividends problem, dividend decisions are allowed to be made at any point in time - according to a continuous strategy. Depending on the surplus process that is considered and whether dividend payouts are bounded or not, optimal strategies are generally of a band,...
Persistent link: https://www.econbiz.de/10013025114
In this paper, we consider a profitable, risky setting with two separate, correlated asset and liability processes (first introduced by Gerber and Shiu, 2003). The company that is considered is allowed to distribute excess profits (traditionally referred to as dividends in the literature), but...
Persistent link: https://www.econbiz.de/10012985054
The expected present value of dividends is one of the classical stability criteria in actuarial risk theory. In this context, numerous papers considered threshold (refractive) and barrier (reflective) dividend strategies. These were shown to be optimal in a number of different contexts for...
Persistent link: https://www.econbiz.de/10012987378
Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture structural dependence coming from known relationships. In addition, it helps with the parsimonious construction of...
Persistent link: https://www.econbiz.de/10012906428
When calculating the risk margins of a company with multiple Lines of Business–typically, a quantile in the right tail of an aggregate loss, assumptions about the dependence structure between the different Lines are crucial. Many current multivariate reserving methodologies focus on aggregated...
Persistent link: https://www.econbiz.de/10012890451
The Swiss model of retirement savings and benefits distinguishes itself in several aspects. The system is successful in encouraging substantial savings, which are exonerated from tax and guaranteed. The associated market risk is not transferred to the individuals. From an international...
Persistent link: https://www.econbiz.de/10013132475
The dual model with diffusion is appropriate for companies with continuous expenses that are offset by stochastic and irregular gains. Examples include research-based or commission-based companies. In this context, Avanzi and Gerber (2008) showed how to determine the expected present value of...
Persistent link: https://www.econbiz.de/10013136011