This paper discusses a multi-objective portfolio optimization problem for practical portfolio selection in fuzzy environment, in which the return rates and the turnover rates are characterized by fuzzy variables. Based on the possibility theory, fuzzy return and liquidity are quantified by...

This paper generalizes Makeham’s formula, allowing for varying interest rates and for a non-flat structure of valuation rates. An average interest rate (AIR) is introduced, as well as an average valuation rate (AVR), both of which exist and are unique for any asset. They can be computed either...

In defined contribution (DC) pension schemes, the financial risk borne by the member occurs during the accumulation phase. To build up sufficient funds for retirement, scheme members invest their wealth in a portfolio of assets. This paper considers an optimal investment problem of a scheme...

The smoothing of capital market returns is possible if the pension plan allows for some kind of intergenerational risk transfer. This can be realized if the total of assets of the pension fund is not fully allocated to individual saving accounts but part of the assets is allocated to a...

This work develops a stochastic differential game model between two insurance companies who adopt the optimal reinsurance strategies to reduce the risk. The surplus is modeled by a regime-switching jump diffusion process. A single payoff function is imposed, and one player devises an optimal...

Since the financial crisis of 2007–2009 there is an active debate by regulators and academic researchers on systemic risk, with the aim of preventing similar crises in the future or at least reducing their impact. A major determinant of systemic risk is the interconnectedness of the...

This paper studies capital allocation problems with the aggregate risk exceeding a certain threshold. We propose a novel capital allocation rule based on the Tail Mean–Variance principle. General formulas for the optimal capital allocations are proposed. Explicit formulas for optimal capital...

The purpose of this paper is to point out that an asymptotic rule A+B/u for the ultimate ruin probability applies to a wide class of dependent risk processes, in continuous or discrete time. That dependence is incorporated through a mixing model in the individual claim amount distributions....

The optimal reinsurance arrangement is identified whenever the reinsurer counterparty default risk is incorporated in a one-period model. Our default risk model allows the possibility for the reinsurer to fail paying in full the promised indemnity, whenever it exceeds the level of regulatory...

Assume that an insurer has two dependent lines of business. The reserves of the two lines of business are modeled by a two-dimensional compound Poisson risk process or a common shock model. To protect from large losses and to reduce the ruin probability of the insurer, the insurer applies a...