The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of elder people may modify the savings behavior of French households. The level of savings, as well as its composition, may...

A discrete time probabilistic model, for optimal equity allocation and portfolio selection, is formulated so as to apply to (at least) reinsurance. In the context of a company with several portfolios (or subsidiaries), representing both liabilities and assets, it is proved that the model has...