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AuthorRach, Manuel Matthiasdc.contributor.author
Date of accession2020-05-27T15:04:53Zdc.date.accessioned
Available in OPARU since2020-05-27T15:04:53Zdc.date.available
Year of creation2020dc.date.created
Date of first publication2020-05-27dc.date.issued
AbstractThis cumulative thesis contributes to the field of optimal retirement planning, optimal retirement product design and optimal asset allocation in the context of collective investment problems. In the first part of the thesis, we consider private retirement plans. We analyze novel retirement products which shift the longevity risk (risk of outliving one’s financial resources in retirement) towards policyholders. Various such innovative products have recently appeared in the academic literature and the question arises how beneficial they are for policyholders and insurers. To assess the benefits of retirement plans from a policyholder’s perspective, expected utility has been frequently used in the literature to find optimal payoff structures or to compare different retirement plans. The first three papers in this thesis contribute to this literature and the field of optimal retirement planning by introducing, modeling and analyzing the attractiveness of novel types of retirement plans. In the second part of the thesis, we consider occupational pension plans. In many countries, occupational pension schemes no longer promise guarantees to employees but instead provide a retirement income which depends substantially on the performance of the financial market experienced during the accumulation phase. In the academic literature, it is common that employees are, during the accumulation phase, modeled as investors in a financial market. Using an expected utility framework, it is then possible to derive the optimal continuous-time trading strategy and the resulting optimal wealth level. For a single investor, this procedure is well-documented, both with and without portfolio insurance. The last two papers of the thesis contribute to the literature on optimal asset allocation by analyzing novel types of optimization problems where individuals with heterogeneous risk preferences are tied together in their investment decision and invest collectively under portfolio insurance.dc.description.abstract
Languageen_USdc.language.iso
PublisherUniversität Ulmdc.publisher
Has partChen, A. and Rach, M. (2019). Options on tontines: An innovative way of combining annuities and tontines. Insurance: Mathematics and Economics, 89:182–192. – Available at: https://doi.org/10.1016/j.insmatheco.2019.10.004dc.relation.haspart
Has partChen, A., Rach, M., and Sehner, T. (2020). On the optimal combination of annuities and tontines. ASTIN Bulletin: The Journal of the IAA, 50(1):95–129. – Available at: https://doi.org/10.1017/asb.2019.37dc.relation.haspart
Has partChen, A., Hieber P., and Rach, M. (2019). Optimal retirement products under subjective mortality beliefs. Submitted to special issue of Insurance: Mathematics and Economics on behavioral insurance (under review). Available at SSRN: http://dx.doi.org/10.2139/ssrn.3287699dc.relation.haspart
Has partChen, A., Nguyen, T., and Rach, M. (2019). Optimal collective investment: The impact of sharing rules, management fees and guarantees. Submitted to Journal of Banking and Finance (revise and resubmit). Latest revised and resubmitted version of 2020 available at http://dx.doi.org/10.2139/ssrn.3249094dc.relation.haspart
Has partChen, A., Nguyen, T., and Rach, M. (2019). A collective investment problem in a stochastic volatility environment: The impact of sharing rules. Submitted to Annals of Operations Research (under review). Available at SSRN: http://dx.doi.org/10.2139/ssrn.3424804dc.relation.haspart
LicenseStandarddc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_v3dc.rights.uri
KeywordPortfolio managementdc.subject
KeywordPortfolio selectiondc.subject
KeywordOption pricingdc.subject
KeywordAntinedc.subject
KeywordOptimal retirement productsdc.subject
KeywordSubjective mortality beliefsdc.subject
KeywordCollective investment problemsdc.subject
KeywordGuarantee designdc.subject
KeywordSharing rulesdc.subject
KeywordPortfolio insurancedc.subject
KeywordStochastic volatilitydc.subject
KeywordTonuitydc.subject
Dewey Decimal GroupDDC 330 / Economicsdc.subject.ddc
Dewey Decimal GroupDDC 510 / Mathematicsdc.subject.ddc
LCSHInsurancedc.subject.lcsh
LCSHRetirement Incomedc.subject.lcsh
LCSHPortfolio managementdc.subject.lcsh
LCSHPortfolio management; Decision makingdc.subject.lcsh
LCSHAnnuitiesdc.subject.lcsh
LCSHTontine life insurance policiesdc.subject.lcsh
TitleOptimal design of private and occupational retirement plansdc.title
Resource typeDissertationdc.type
Date of acceptance2020-03-16dcterms.dateAccepted
RefereeChen, Andc.contributor.referee
RefereeZwiesler, Hans-Joachimdc.contributor.referee
RefereeWagner, Joëldc.contributor.referee
DOIhttp://dx.doi.org/10.18725/OPARU-31562dc.identifier.doi
PPN1700177400dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-oparu-31624-8dc.identifier.urn
GNDVersicherungdc.subject.gnd
GNDAlterseinkünftedc.subject.gnd
GNDVersicherungsmathematikdc.subject.gnd
GNDFinanzmathematikdc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
InstitutionInstitut für Versicherungswissenschaftenuulm.affiliationSpecific
Grantor of degreeFakultät für Mathematik und Wirtschaftswissenschaftenuulm.thesisGrantor
DCMI TypeTextuulm.typeDCMI
CategoryPublikationenuulm.category
FundingZielrente: die Lösung zur alternden Gesellschaft in Deutschland / DFG [418318744]uulm.funding
Bibliographyuulmuulm.bibliographie


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