We compare a variety of retirement products under cumulative prospect theory (CPT), including both well-known (variable) annuity products and some innovative, tontine-like retirement products, in which longevity risks are shared between insurers and policyholders. Following Hu and Scott (2007),...

The present paper analyses an optimal consumption and investment problem of a retiree with a constant relative risk aversion (CRRA) who faces parameter uncertainty about the financial market.We solve the optimization problem under partial information by making the market observationally complete...

We study the demand for retirement products given access to innovative plans which depend on the realized survival probabilities, like tontines, in addition to traditional annuities. Preferences of agents are modeled by a generalized life-cycle utility function allowing for temporal risk...

For insurance companies in Europe, the introduction of Solvency II leads to a tightening of rules for solvency capital provision. In life insurance, this especially affects retirement products that contain a significant portion of longevity risk (for example conventional annuities). Insurance...

This paper proposes an innovative retirement product with a focus on longevity risk sharing, a contract we refer to as tail index-linked annuity (TILA). Specifically, the proposed TILA pays out variable annual payments, which will be equal to a regular nominal amount when a reference survival...

In the present paper, we propose death benefits be directly embedded in retirement products to promote their attractiveness, where annuities and tontines are used as representative retirement products. As we assume that the death benefits will be passed on to the heirs of policyholders, these...