We consider a stochastic model for a defined-contribution pension fund in continuous time. In particular, we focus on the portfolio problem of a fund manager who wants to maximize the expected utility of his terminal wealth in a complete financial market with stochastic interest rate. The fund...

Annuities are a vital aspect of a growing number of reformed pension systems around the world, and will be of increasing relevance in Europe as reform of generous social security schemes gathers pace. This paper addresses the regulation of annuities, essential to ensure integrity of the system,...

Some researchers have raised concerns about significant volatility in initial payments from fixed immediate life annuities and the subsequent inflation risk during the retirement period. This paper investigates these concerns using recent high frequency data. It finds that while there is...

Uncertainty in mortality and disability trends, from which the longevity risk in living benefits arises, is discussed. The financial impact of longevity risk on life annuities, sickness benefits for the elderly and long-term care covers is then analysed, focussing in particular solvency...

Some researchers have raised concerns about significant volatility in initial payments from fixed immediate life annuities and the subsequent inflation risk during the retirement period. This paper investigates these concerns using recent high frequency data. It finds that while there is...

We propose a new approach to the study of stock returns. We develop a simple model to show that, in the long run, the average rate of return on the market portfolio equals the average growth rate of income plus an average payout rate measuring the quantity of inancial resources distributed or...

We analyze the monitoring role of occupational pension funds, the largest category of shareholders in the UK. Our hypothesis is that, unlike other financial institutions, occupational pension funds are expected to monitor companies in which they hold large stakes because of their objectives,...

This paper presents an analysis on how the expected development of pension funds in Italy will contribute toenhance corporate governance. The existing evidence on this issue comes mainly from the Anglo Saxon countries but it does notshow unequivocal effectiveness of activism on firm performance....

Although the issue of portability of occupational pension rights has been high on the European Union (EU) policy agenda in the last two decades, no comparative studies have been produced to support the policy debate with empirical evidence. Using data from the European Community Household Panel...