94 citations · 100 across the 3 of their papers we have counts for
6 papers
Stochastic modeling of assets and liabilities with mortality risk
Sergio Alvares Maffra, John Armstrong, Teemu Pennanen
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment…
Asymptotically Optimal Management of Heterogeneous Collectivised Investment Funds
John Armstrong, Cristin Buescu
A collectivised fund is a proposed form of pension investment, in which all investors agree that any funds associated with deceased members should be split among survivors. For thi…
Collectivised Pension Investment with Exponential Kihlstrom--Mirman Preferences
John Armstrong, Cristin Buescu
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We give a numerical algorithm to compute the…
Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences
John Armstrong, Cristin Buescu
In a collectivised pension fund, investors agree that any money remaining in the fund when they die can be shared among the survivors. We compute analytically the optimal investmen…
Collectivised Post-Retirement Investment
John Armstrong, Cristin Buescu
We quantify the benefit of collectivised investment funds, in which the assets of members who die are shared among the survivors. For our model, with realistic parameter choices, a…
Pricing index options by static hedging under finite liquidity
John Armstrong, Teemu Pennanen, Udomsak Rakwongwan
We develop a model for indifference pricing in derivatives markets where price quotes have bid-ask spreads and finite quantities. The model quantifies the dependence of the prices…