The global shift towards defined-contribution pension schemes has been accompanied by asymmetric risks and new responsibilities for households to plan and fund effectively their own retirement over the years. In this study, expressing and combining preferences for consumption, investment,...

The retirement systems in many developed countries have been increasingly moving from Defined Benefit (DB) towards the Defined Contribution (DC) system. In such systems, financial and longevity risks are shifted from the pension provider to the retiree. This paper uses a probabilistic approach...

This paper studies a one-period stochastic game to determine the optimal premium strategies of non-life insurers in a competitive market. Specifically, the optimal premium strategy is determined by the Nash equilibrium of an n-player game, in which each player is assumed to maximise the expected...

We develop estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing of coupon-paying government bonds followed over many time periods. We use our model to estimate the discount function and yield curve of nominally riskless government bonds. The...

We disentangle structural breaks in dynamic factor models by establishing a projection based equivalent representation theorem which decomposes any break into a rotational change and orthogonal shift. Our decomposition leads to the natural interpretation of these changes as a change in the...

This paper revisits the least squares estimator of the linear regression with a structural break. We view the model as an approximation to the true data generating process whose exact nature is unknown but perhaps changing over time either continuously or with some jumps. This view is widely...