Purpose: The aim of this paper is to modify the shape of utility functions traditionally used in expected utility theory (EUT) to derive optimal retirement saving decisions. Inspired by current reference point based approaches, the authors argue that utility functions with jumps or kinks at...

The use of forward models for the future development of mortality has been proposed by several authors. In this article, we specify adequate volatility structures for such models. We derive a Heath-Jarrow-Morton drift condition under different measures. Based on demographic and epidemiological...

We analyze the effect of enhanced annuities on an insurer engaging in individual underwriting. We use a frailty model for heterogeneity of the insured population and model individual underwriting by a random variable that positively correlates with the corresponding frailty factor. For a given...

For annuity providers, longevity risk, i.e. the risk that future mortality trends differ from those anticipated, constitutes an important risk factor. In order to manage this risk, new financial products, so-called longevity derivatives, may be needed, even though a first attempt to issue a...

In this paper, we analyze traditional (i.e. not unit-linked) participating life insurance contracts with a guaranteed interest rate and surplus participation. We consider three different surplus distribution models and an asset allocation that consists of money market, bonds with different...

Markt für Ruhestandsplanung in Deutschland -- Zielgruppen und Kundentypen -- Inhalte und Prozess der Ruhestandsplanung -- Langlebigkeit als Ausgangspunkt -- Konsum vs. Kapitalerhalt -- Rente vs. Entnahmeplan -- Flexible Renten -- Einladeverfahren und lead-Generierung -- Tools in der...