Risky investments and survival probability in the insurance model with two-sided jumps: Problems for integrodifferential equations and ordinary differential equation and their equivalence [PDF]
Известия Саратовского университета. Новая серия: Математика. Механика. Информатика, 2023 We consider a model of an insurance portfolio that includes both non-life and life annuity insurance while assuming that the surplus (or some of its fraction) is invested in risky assets with the price dynamics given by a geometric Brownian motion.
Belkina, Tatiana Andreevna +1 more
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EDIS, 2019 Would a forest landowner be economically better off growing a forest for pulpwood production with a short rotation instead of growing the same forest for sawtimber production with a longer rotation? To help answer this and related questions, this 4-page
Andres Susaeta, Chris Demers
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Financial appraisal of investments with unequal economic life in logistics [PDF]
TehnikaCompanies in the logistics sector are often faced with the need for financial appraisal of investments with unequal economic life, which most often refers to the acquisition of fixed assets.
Božić Mladen S. +3 more
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How pensions contribute to the premium paid to experienced public school teachers [PDF]
, 2017 Many argue that public school systems should stop linking teachers’ salaries so closely to their years of experience. However, the effect of deferred retirement compensation on the premium paid to experienced teachers has, to date, been underappreciated.
McGee, Joshua B., Winters, Marcus A.
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Propagation and smoothing of shocks in alternative social security systems [PDF]
, 2018 Even with well-developed capital markets, there is no private market mechanism for trading between current and future generations. This generates a potential role for public old-age pension systems to spread economic and demographic shocks among ...
Auerbach, A +3 more
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Optimal gradual annuitization : quantifying the costs of switching to annuities [PDF]
, 2007 We compute the optimal dynamic asset allocation policy for a retiree with Epstein-Zin utility. The retiree can decide how much he consumes and how much he invests in stocks, bonds, and annuities.
Horneff, Wolfram J. +2 more
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Lee-Carter goes risk-neutral: an application to the Italian annuity market [PDF]
, 2005 We consider a class of stochastic intensities of mortality that generalizes the model proposed by Lee and Carter (1992), allowing general diffusions to drive the mortality time-trend.
Biffis, E., Denuit, M.
core
Maximum Market Price of Longevity Risk under Solvency Regimes: The Case of Solvency II. [PDF]
, 2016 Longevity risk constitutes an important risk factor for life insurance companies, and it can be managed through longevity-linked securities. The market of longevity-linked securities is at present far from being complete and does not allow finding a ...
Helena Leino-Kilpi (3471101) +5 more
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Self-selection and risk sharing in a modern world of life-long annuities [PDF]
, 2018 Communicating a pension product well is as important as optimising the financial value. In a recent study, we showed that up to 80% of the value of a pension lump sum could be lost if customer communication failed.
Gerrard, R. J. G. +3 more
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Pension schemes versus real estate [PDF]
, 2018 The demographic, economic and social changes that have characterized the last decades, and the dramatic financial crisis that has taken place since 2008, have led to a demand for structural changes in the pension sector and a growing interest in ...
D'Amato, V. +4 more
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