Stochastic mortality, i.e. modelling death arrival via a jump process with stochastic intensity, is gaining increasing reputation as a way to represent mortality risk. This paper represents a first attempt to model the mortality risk of couples of individuals, according to the stochastic...

In this paper we try to find an investment strategy which gives a high probability of reaching a given target amount at retirement. This strategy depends on two moments: the first is the appropriate time to stop investing the contributions into equities and the second is the optimal moment to...

We consider the portfolio selection problem in the accumulation phase of a defined contribution pension scheme in continuous time, and compare the mean-variance and the expected utility maximization approaches. Using the embedding technique pioneered by Zhou and Li (2000) we first find the...