This paper developed a wealth allocation framework for longevity risk protection under stochastic lifetime. By combining the dynamics of wealth evolution and health evolution in stochastic multi-period discrete-time models, an optimization problem was formulated with the objective of maximizing...

<section xml:id="fut21608-sec-0001"> Using a market‐level exercise data set and an individual‐level trading data set between August 2006 and June 2009, this study examines the incidence of two types of irrational exercise behavior in the Chinese warrants market. We find that 121.64 million shares of warrants (0.64% of all...</section>

Risk related to long-term care (LTC) is high for the elderly. Planning for LTC is now regarded as the [`]third leg' of retirement planning. In this paper, planning for LTC is integrated with saving and investment decisions for an integrated approach to retirement planning. Optimal LTC insurance...

Long-term service agreements (LTSAs) for the maintenance of capital-intensive products are gaining popularity. Without a thorough understanding of risk exposures and their impact on the service delivery, the providers can be exposed to the possibility of extensive losses and financial ruin, as...

The paper develops a network-based framework to assess the impact of a firm's financial interconnections and interdependencies on it optimal hedging and risk transfer strategy. This is important consideration as risk concentrations and propagation embedded in risk transfers pose as a significant...

We analyze the impact of managerial compensation structure in publicly-traded banks on their risk taking behavior, specifically the changes in risk taking through the changing regulatory environment for these banks. We perform a simulation analysis to study the impact of the interaction between...

Long-term service agreements (LTSAs) for the maintenance of capital-intensive equipments like gas turbines, medical equipments, aircraft and locomotive engines, are gaining popularity. A typical LTSA contract, spanning 5-20 years, makes a provider responsible for fully maintaining the...