This paper introduces a target benefit pension (TBP) model that incorporates longevity risk and stochastic interest rate. Previous models have not considered the dynamic nature of remaining lifetime, and this paper proposes an Ornstein-Uhlenbeck (OU) process to simulate average remaining...

In this paper, we consider a risk process with the arrival of claims modelled by a dynamic contagion process, a generalisation of the Cox process and Hawkes process introduced by Dassios and Zhao (2011). We derive results for the infinite horizon model that are generalisations of the...