-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with … a random time horizon, featuring three state variables: wealth, labor income, and force of mortality. To address this …- and mortality-dependent transformed version of the optimal stopping boundary. We also provide numerical illustrations of …

ratio, and buyout cost, subject to a constraint on downside risk in terms of expected shortfall of assets relative to … increase downside risk …

Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance … appropriate numerical optimisation methods chosen to solve various risk transfer problems. The stability issues are also …

Decision-makers who usually face model/parameter risk may prefer to act prudently by identifying optimal contracts that … solved. Numerical experiments are run for various risk preference choices and it is found that for relatively large sample … the modeler puts on the tail risk when defining its objective function. These findings suggest that one should be very …