Pollutants emitted by pollution generation sources do not only deteriorate the water quality, but the emissions of greenhouse gas also contribute to the green house effect. Material balance of biomass wastes shows there is a trade-off between water pollution and global warming. Therefore, in...

This paper proposes an age-coherent sparse Vector Autoregression mortality model, which combines the appealing features of existing VAR-based mortality models, to forecast future mortality rates. In particular, the proposed model utilizes a data-driven method to determine the autoregressive...

This paper proposes a coherent multi-population approach to mortality forecasting for less developed countries. The majority of these countries have witnessed faster mortality declines among the young and the working age populations during the past few decades, whereas in the more developed...

In this study, we use advance tax rulings (ATR) to investigate the impact of fee-based tax certainty on risky investment decisions of a firm under both cash flow and tax uncertainty. We model and analyze the multi-dimensional nature of tax uncertainty from tax reforms and tax audits in expected...

This paper investigates the consumption and investment decisions of an individual facing uncertain lifespan and stochastic labor income within a Black-Scholes market framework, A key aspect of our study involves the agent's option to choose when to acquire life insurance for bequest purposes, We...

It is typical in collectively administered pension funds that employees delegate fund managers to invest their contributions. In addition, many pension funds still need to sustain guarantees (prescribed by law) in spite of the current low interest environment. In this paper, we consider an...

We analyze the newly introduced German occupational pension scheme called target pension (“Zielrente”), which links the beneficiaries’ benefits during the retirement phase to the mortality experienced among the pension beneficiaries and the performance of the financial market, from a...

In this paper, we consider the net loss of a life insurance company issuing identical equity-linked pure endowment contracts in the case of periodic premiums. Under this construction, financial risks as well as the mortality risk are included. Based on Møller (1998), we particularly investigate...

The topic of insolvency risk in connection with life insurance companies has recently attracted a great deal of attention. In this paper, the question is investigated of how the value of the equity and of the liability of a life insurance company are affected by the default risk and the choice...

This paper compares two different types of private retirement plans from the perspective of a representative beneficiary: a defined benefit (DB) and a defined contribution (DC) plan. While salary risk is the main common risk factor in DB and DC pension plans, one of the key differences is that...