Annuity choices for pensioners

The trend towards defined-contribution pension provision in the UK seems to be irreversible. Most private sector employers with defined-benefit schemes have either closed them to new entrants or wound them up. Virtually all new scheme established have been defined contribution, and the introduction of the government-mandated National Employment Savings Trust will increase the number of workers with defined-contribution benefits.

Updated: 22/09/2011
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Views: 4,073

What discount rate should be used to value a cash-flow linked to final salary?

Estimating the fair value of final salary pension liabilities has increased in importance because of the introduction of market-based accounting standards and the growing significance of pension liabilities in mergers and acquisitions.

Updated: 22/09/2011
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Views: 5,562

Time deductibles as screening devices: competitive markets

In this article, we analyse the strength of screening based on an alternative screening device, namely limitations to the period of coverage of the contract.

Updated: 05/10/2013
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Views: 292

Modelling the short-term dependence between two remaining lifetimes

Author(s):

Jaap Spreeuw

 et al.

Dependence between times of death of coupled lives is said to be of a short-term type if the probability of death of the bereaved life is highest in the first period (six months or a year, say) after death of the partner. A multiple state model is introduced, allowing for this type of dependence, which is applied to a life annuity portfolio.

Updated: 07/03/2012
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Views: 4,354

Modelling stochastic mortality for dependent lives

Author(s):

Jaap Spreeuw

 et al.

This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.

Updated: 22/09/2011
Comments:
Views: 3,533

Modelling stochastic mortality for dependent lives

Author(s):

Jaap Spreeuw

 et al.

This paper is a first attempt to model the mortality risk of couples of individuals, according to the stochastic intensity approach.

Updated: 22/09/2011
Comments:
Views: 3,533

Stochastic processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics

We consider a new class of processes, called LG processes, defined as linear combinations ofindependent gamma processes. Their distributional and path-wise properties are explored by following their relation to polynomial and Dirichlet (B-) splines. In particular, it is shown that the density of an LG process can be expressed in terms of Dirichlet (B-) splines, introduced independently by Ignatov and Kaishev (1987, 1988, and 1989) and Karlin et al. (1986).

Updated: 22/09/2011
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Views: 4,563

Momentum profits, non-normality risks and the business cycle

This paper investigates the extent to which the profitability of momentum strategies is a compensation for exposure to systematic departures from normality. We document that winner returns are more negatively skewed than loser returns, and that the winners exhibit higher positive kurtosis than the losers.

Updated: 24/10/2011
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Views: 3,766

The third annual Cass-Capco conference of the Cass-Capco institute paper series on risk

Author(s):

Podcast containing interviews, presentations and keynote address of the event at Cass Business School on 19 April 2010

Updated: 30/09/2011
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Views: 8,508