By applying the principle of equivalent forward preferences, this paper revisits the pricing
and hedging problems for equity-linked life insurance contracts. The equity-linked …

This paper considers the optimal investment and consumption problem for the pooled
annuity funds, in which both the financial market and the mortality hazard rate of participants …

This article explores pure-endowment contracts with investments that are simultaneously
allocated in risk-free and risky financial markets. Employing the optimal stochastic control …

In this paper we study exponential utility indifference pricing of pure endowment policies in a
stochastic-factor model for an insurance company, which can also invest in a financial …

We investigate the optimal reinsurance problem in the risk model with jump clustering
features introduced in [7]. This modeling framework is inspired by the concept initially …

We present a unified framework designed to provide an optimal investment strategy for
members of a defined contribution pension plan. Our model guarantees a minimum …

The strong predictable representation property of semi-martingales and the notion of
enlargement of filtration meet naturally in modeling financial markets, and theoretical …

This paper addresses the risk-minimization problem, with and without mortality
securitization, à la Föllmer–Sondermann for a large class of equity-linked mortality contracts …

Portfolio insurance strategies, designed to safeguard a minimum level of wealth while
participating in market gains, have become a linchpin of the asset management industry …

In this thesis, we study a few optimization problems for an insurance company whose
purpose is to maximize profits and/or minimize risks. Our results are collected in three …