This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement. This problem has already been treated in the unconstrained case in a number of papers. The aim...

We consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme. We solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization...

This paper deals with a constrained investment problem for a defined contribution (DC) pension fund where retirees are allowed to defer the purchase of the annuity at some future time after retirement.

We solve a mean-variance optimisation problem of a defined contribution pension scheme in the accumulation phase. The financial market consists of: (i) the risk-free asset, (ii) a risky asset following a GBM, and (iii) a bond driven by a stochastic interest rate following the Vasicek [1977]...

We study and calibrate a cohort-based model which captures the characteristics of a mortality surface with a parsimonious, continuous-time factor approach. The model allows for imperfect correlation of the mortality intensity across generations. It is implemented on UK data for the period...

One of the major concerns of life insurers and pension funds is the increasing longevity of their beneficiaries. This paper studies the hedging problem of annuity cash flows when mortality and interest rates are stochastic. We first propose a Delta–Gamma hedging technique for mortality risk....

In this paper, we address the mortality risk of individuals and adopt parsimonious time- homogeneous a±ne processes for their mortality intensities. We calibrate the models to different generations in the UK population and investigate their empirical appropriateness. We find that, in spite of...

In this paper, we consider the problem of finding the optimal time of annuitization for a retiree of a defined contribution pension scheme having the possibility of choosing her own investment and consumption strategy. We exploit the model introduced by Højgaard - Vigna (2010), who formulate...

This paper studies the hedging problem of life insurance policies, when the mortality and interest rates are stochastic. We focus primar- ily on stochastic mortality. We represent death arrival as the rst jump time of a doubly stochastic process, i.e. a jump process with stochastic intensity. We...