In this paper, we investigate the relationship between comonotonicity and stoploss order. We prove our main results by using a characterization of stop-loss order within the framework of Yaari's (1987) dual theory of choice under risk. Wang and Dhaene (1997) explore related problems in the case...

Asset allocation during the retirement years has not received as much attention as allocation prior to retirement. Within the context of financial planning towards the end of the life-cycle, the economics literature is puzzled over the extremely low levels of voluntary annuitization exhibited...

This article describes how fuzzy logic can be used to make insurance pricing decisions that consistently consider supplementary data, including vague or linguistic objectives of the insurer. The theory of fuzzy logic was developed in the 1970s to improve the accuracy and efficiency of expert...

The purpose of this paper is to reveal the relation between the reversibility of annuities and retirees' reluctance to annuitize. To this end, we assume the existence of reversible annuities, whose surrender charge is a proportion of their purchase value. We model a retiree as a...

We determine the optimal robust investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of lifetime ruin when she does not have perfect confidence in her hazard rate of mortality. By using stochastic control, we characterize the...

We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal Duesenberry's ratcheting consumption problem, studied...

We determine the optimal lifecycle purchasing strategy for deferred income annuities (DIAs), which are distinct from single-premium income annuities (SPIAs) for an individual who wishes to maximize the expected utility of her annuity income at a fixed time in the future. In contrast to the...