3 Result(s)
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Article
Human capital and portfolio choice: borrowing constraint and reversible retirement
In this paper, we investigate the impact of the option to retire and subsequently reverse that decision on an individual’s consumption and portfolio decisions. We consider two job status states: the working st...
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Article
Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time
This work considers a partial equilibrium approach for pricing longevity bonds in a stochastic mortality intensity setting. Thus, the pricing methodology developed in this work is based on a foundational econo...
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Article
Open AccessA variational inequality arising from optimal surrender of variable annuity with lookback benefit
We introduce a variable annuity (VA) contract with a surrender option and lookback benefit, that is, the benefit of the VA contract is linked to the maximum process of the policyholder’s account value. In cont...
