We study a problem of non-concave utility maximization under a fair pricing constraint. The
framework finds many applications in, for example, the optimal design of managerial …

Participating life insurance contracts allow the policyholder to participate in the annual return
of a reference portfolio. Additionally, they are often equipped with an annual (cliquet-style) …

The financial return of equity-indexed annuities depends on an underlying fund or
investment portfolio complemented by an investment guarantee. We discuss a so-called …

To mitigate the hedger's longevity risk exposure, this paper proposes a collective longevity
swap between a reinsurer (hedge provider) and a group of hedgers (pension plans and …

We compare two contracts for managing systematic longevity risk in retirement: a collective
arrangement that distributes the risk among participants, and a market-provided annuity …

This paper studies optimal investment and proportional reinsurance policies for an insurer
with Markov regime-switching model and random time solvency regulation. The goal of the …

We study a problem in the principal-agent model of two general S-shaped utilities without
explicit expressions, where the two parties have different reference points. The problem is …

Regulatory risk constraints as in the European Solvency II standard formula for insurance
companies may lead to wealth-dependent constraints on the investment strategy. We …

This paper investigates continuous-time intertemporal liabilitydriven investment strategies in
the presence of liability constraints in a regimeswitching market. We employ the value of the …

We compare two longevity risk management contracts in retirement: a collective
arrangement that distributes the risk among participants, and a market-provided annuity …