The present paper answers the question of how the well-being of individual investors (e.g. pension beneficiaries) is affected by having their capital invested in a collective fund. To achieve this, we lay out and solve an optimal collective investment problem under a portfolio insurance...

In a typical equity-linked life insurance contract, the insurance company is entitled to a share of return surpluses as compensation for the return guarantee granted to the policyholders. The set of possible contract terms might, however, be restricted by a regulatory default constraint - a fact...

For insurance companies in Europe, the introduction of Solvency II leads to a tightening of rules for solvency capital provision. In life insurance, this especially affects retirement products that contain a significant portion of longevity risk (for example conventional annuities). Insurance...

Many empirical studies confirm that policyholder's subjective mortality beliefs deviate from the information given by publicly available mortality tables. In this study, we look at the effect of subjective mortality beliefs on the perceived attractiveness of retirement products, focusing on two...

In this study, we use advance tax rulings (ATR) to investigate the impact of fee-based tax certainty on risky investment decisions of a firm under both cash flow and tax uncertainty. We model and analyze the multi-dimensional nature of tax uncertainty from tax reforms and tax audits in expected...

In this study, we use advance tax rulings (ATR) to investigate the impact of fee-based tax certainty on risky investment decisions of a firm under both cash flow and tax uncertainty. We model and analyze the multidimensional nature of tax uncertainty from tax reforms and tax audits in expected...

Due to the low demand for conventional annuities, alternative retirement products are sought. Quite recently, tontines have been frequently brought up as a promising option in this respect. Inspired by unit-linked life insurance and retirement products, we introduce unit-linked tontines in this...

We analyze optimal asset allocation in continuous time for a collective of tied-together investors. We rely on a specific collective utility function which dates back to Karatzas (1990), by which the fund manager maximizes the weighted average of expected individual utilities for the investors...

In this paper, we consider the net loss of a life insurance company issuing identical equity-linked pure endowment contracts in the case of periodic premiums. Under this construction, financial risks as well as the mortality risk are included. Based on Møller (1998), we particularly investigate...

With the gradual deepening of aging, the medical and pension problems of the half-disabled and disabled elderly will become increasingly prominent. Policymakers, academics, and the public at large shed extensive concerns about the cost of aging societies. Although long-term care (LTC) insurance...