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| Author | : Jinlian Wang |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
| Author | : Feng Li |
| Publisher | : |
| Total Pages | : 120 |
| Release | : 2008 |
| Genre | : Insurance |
| ISBN | : |
Retirees face a difficult choice between annuitization from insurance firms and self-management or so-called self-annuitization. Self-annuitization could provide a higher consumption by investing more assets on equity market but with a risk that retirees may outlive the income from their self-managed assets. Using the Ornstein-Uhlenbeck stochastic model, also called the Vasicek model, for the rate of return, we focus our study on the ruin probability in retirement. We show how asset mix, initial rate of return, and gender impact the ruin probability in retirement. We derive a recursive formula to calculate an approximate distribution for the present value of the life annuity function under our stochastic model. Finally, we use our model to illustrate how a VaR technique can help determine the optimal consumption for a retiree with a certain tolerance to ruin under different retirement goals.
| Author | : Jeffrey Robert Brown |
| Publisher | : |
| Total Pages | : 208 |
| Release | : 1999 |
| Genre | : |
| ISBN | : |
| Author | : Moshe A. Milevsky |
| Publisher | : Cambridge University Press |
| Total Pages | : 301 |
| Release | : 2006-03-13 |
| Genre | : Business & Economics |
| ISBN | : 1139454862 |
This 2006 book introduces and develops the basic actuarial models and underlying pricing of life-contingent pension annuities and life insurance from a unique financial perspective. The ideas and techniques are then applied to the real-world problem of generating sustainable retirement income towards the end of the human life-cycle. The role of lifetime income, longevity insurance, and systematic withdrawal plans are investigated in a parsimonious framework. The underlying technology and terminology of the book are based on continuous-time financial economics by merging analytic laws of mortality with the dynamics of equity markets and interest rates. Nonetheless, the book requires a minimal background in mathematics and emphasizes applications and examples more than proofs and theorems. It can serve as an ideal textbook for an applied course on wealth management and retirement planning in addition to being a reference for quantitatively-inclined financial planners.
| Author | : David F. Anderson |
| Publisher | : Cambridge University Press |
| Total Pages | : 447 |
| Release | : 2017-11-02 |
| Genre | : Mathematics |
| ISBN | : 110824498X |
This classroom-tested textbook is an introduction to probability theory, with the right balance between mathematical precision, probabilistic intuition, and concrete applications. Introduction to Probability covers the material precisely, while avoiding excessive technical details. After introducing the basic vocabulary of randomness, including events, probabilities, and random variables, the text offers the reader a first glimpse of the major theorems of the subject: the law of large numbers and the central limit theorem. The important probability distributions are introduced organically as they arise from applications. The discrete and continuous sides of probability are treated together to emphasize their similarities. Intended for students with a calculus background, the text teaches not only the nuts and bolts of probability theory and how to solve specific problems, but also why the methods of solution work.
| Author | : S. David Promislow |
| Publisher | : John Wiley & Sons |
| Total Pages | : 390 |
| Release | : 2011-01-06 |
| Genre | : Mathematics |
| ISBN | : 0470978074 |
This book provides a comprehensive introduction to actuarial mathematics, covering both deterministic and stochastic models of life contingencies, as well as more advanced topics such as risk theory, credibility theory and multi-state models. This new edition includes additional material on credibility theory, continuous time multi-state models, more complex types of contingent insurances, flexible contracts such as universal life, the risk measures VaR and TVaR. Key Features: Covers much of the syllabus material on the modeling examinations of the Society of Actuaries, Canadian Institute of Actuaries and the Casualty Actuarial Society. (SOA-CIA exams MLC and C, CSA exams 3L and 4.) Extensively revised and updated with new material. Orders the topics specifically to facilitate learning. Provides a streamlined approach to actuarial notation. Employs modern computational methods. Contains a variety of exercises, both computational and theoretical, together with answers, enabling use for self-study. An ideal text for students planning for a professional career as actuaries, providing a solid preparation for the modeling examinations of the major North American actuarial associations. Furthermore, this book is highly suitable reference for those wanting a sound introduction to the subject, and for those working in insurance, annuities and pensions.
| Author | : Nigel Davies |
| Publisher | : International Monetary Fund |
| Total Pages | : 45 |
| Release | : 2003-07-01 |
| Genre | : Business & Economics |
| ISBN | : 1451856008 |
This paper explores insurance as a source of financial system vulnerability. It provides a brief overview of the insurance industry and reviews the risks it faces, as well as several recent failures of insurance companies that had systemic implications. Assimilation of banking-type activities by life insurers appears to be the key systemic vulnerability. Building on this experience and the experience gained under the FSAP, the paper proposes key indicators that should be compiled and used for surveillance of financial soundness of insurance companies and the insurance sector as a whole.
| Author | : Larry Heligman |
| Publisher | : |
| Total Pages | : 8 |
| Release | : 1979 |
| Genre | : Life expectancy |
| ISBN | : 9780858373822 |
| Author | : Moshe A. Milevsky |
| Publisher | : Cambridge University Press |
| Total Pages | : 275 |
| Release | : 2015-04-13 |
| Genre | : Business & Economics |
| ISBN | : 1107076129 |
The book reviews the finance, economics, and history of tontines, and argues that they should be resurrected in the twenty-first century.
| Author | : Salvatore Federico |
| Publisher | : |
| Total Pages | : 206 |
| Release | : 2020-06-23 |
| Genre | : |
| ISBN | : 9783039360581 |
In a world dominated by uncertainty, modeling and understanding the optimal behavior of agents is of the utmost importance. Many problems in economics, finance, and actuarial science naturally require decision makers to undertake choices in stochastic environments. Examples include optimal individual consumption and retirement choices, optimal management of portfolios and risk, hedging, optimal timing issues in pricing American options, and investment decisions. Stochastic control theory provides the methods and results to tackle all such problems. This book is a collection of the papers published in the Special Issue "Applications of Stochastic Optimal Control to Economics and Finance", which appeared in the open access journal Risks in 2019. It contains seven peer-reviewed papers dealing with stochastic control models motivated by important questions in economics and finance. Each model is rigorously mathematically funded and treated, and the numerical methods are employed to derive the optimal solution. The topics of the book's chapters range from optimal public debt management to optimal reinsurance, real options in energy markets, and optimal portfolio choice in partial and complete information settings. From a mathematical point of view, techniques and arguments of dynamic programming theory, filtering theory, optimal stopping, one-dimensional diffusions and multi-dimensional jump processes are used.
