A two factor stochastic model is introduced for the two phases of a defined-contribution pension scheme. During the accumulation phase of the pension, the scheme member invests part of their stochastic income in a portfolio of a risky stock and a bond in order to build up sufficient funds for...

In this paper, we integrate investment decisions in the post-retirement decumulation period with that of the deferred annuity purchase to provide a lifetime decumulation solution. Based on Monte Carlo simulation and historical experience, we use the Perfect Withdrawal Rate (PWR) as a tool to...

We develop portfolio optimization problems to a non-life insurance company for finding the minimum capital required, which simultaneously satisfy solvency and portfolio performance constraints. Motivated by standard insurance regulations, we consider solvency capital requirements based on three...