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Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities
Kartashov, Vasily - 2011
manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …
Persistent link: https://www.econbiz.de/10013119604
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Reaching a bequest goal with life insurance : ambiguity about the risky asset's drift and mortality's hazard rate
Liang, Xiaoqing; Young, Virginia R. - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 187-221
Persistent link: https://www.econbiz.de/10012194122
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Lifecycle Portfolio Choice with Systematic Longevity Risk and Variable Investment-Linked Deferred Annuities
Kartashov, Vasily - 2011
manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …
Persistent link: https://www.econbiz.de/10012461152
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Data-driven distributionally robust CVaR portfolio optimization under a regime-switching ambiguity set
Pun, Chi Seng; Wang, Tianyu; Yan, Zhenzhen - In: Manufacturing & service operations management : M & SOM 25 (2023) 5, pp. 1779-1795
Persistent link: https://www.econbiz.de/10014383458
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Indifference pricing of pure endowments via BSDEs under partial information
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 904-933
Persistent link: https://www.econbiz.de/10012313747
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American options and incomplete information
Ekström, Erik; Vannestål, Martin - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-14
Persistent link: https://www.econbiz.de/10012153092
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Risk-averse multistage stochastic programs with expected conditional risk measures
Khatami, Maryam; Silva, Thuener; Pagnoncelli, Bernardo K.; … - In: Computers & operations research : an international journal 172 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10015066893
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Decomposition algorithms for risk-averse multistage stochastic programs with application to water allocation under uncertainty
Zhang, Weini; Rahimian, Hamed; Bayraksan, Güzin - In: INFORMS journal on computing : JOC 28 (2016) 3, pp. 385-404
Persistent link: https://www.econbiz.de/10011538952
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A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
Rysz, Maciej; Vinel, Alexander; Krokhmal, Pavlo; … - In: INFORMS journal on computing : JOC 27 (2015) 2, pp. 416-430
Persistent link: https://www.econbiz.de/10011291285
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Parallel scenario decomposition of risk-averse 0-1 stochastic programs
Deng, Yan; Ahmed, Shabbir; Shen, Siqian - In: INFORMS journal on computing : JOC 30 (2018) 1, pp. 90-105
Persistent link: https://www.econbiz.de/10011848149